I worked for a small EU company from the US and what they did was that we all set up a "consulting" company (sole proprietor is fine for minimal paperwork) and

I worked for a small EU company from the US and what they did was that we all set up a "consulting" company (sole proprietor is fine for minimal paperwork) and sent invoices to them. Then just calculate the rate to cover the normal taxes that you end up paying fully. It's not that great since the burden to file business taxes is definitely a ton more work than W-2.