If a sitting MP has resigned from the political party under which they were elected, why would they form a new one?
There are two reasons.
First, it is relatively easy to register a party as a sitting member of Parliament.
Normally when someone wants to form a new party to stand for election they need to find 500 people to be members. Each one of these people must be on the electoral roll and must not have been nominated as members for registration by any other party. But with a sitting member of parliament, a party can register as a Parliamentary Party, and skip the requirement for 500 supporters.
Second, it allows the individual to have the name of their party listed above the line on the senate ballot paper.
Candidates who are not in a party can be grouped together on the senate ballot paper, submit a group voting ticket, and have a square above the line. However the above the line square will only identify them with their column position, not their party name.
If a candidate has a registered party they get their party name printed above the line next to their square. This makes it much easier for voters to find the candidate, making the most of their name recognition, rather than searching for the candidate among all of the names below the line.
The incentive to form a party is much less for candidates intending to stand for election in the House of Representatives. Party names are still printed on green ballot papers, but much less prominently than the candidate’s name.
There has been no shortage of independent candidates without a party being elected to the House of Representatives. Other than Senator Xenophon’s election to the Senate in 2007 without a party, and Senator Brian Harradine’s from 1975, recent Senate examples are much rarer (Senator Xenophon registered the Nick Xenophon Group prior to the 2013 election as a Parliamentary Party).
None of this is to suggest that a Senator who forms a party may not be attempting to create a new political legacy that will outlast them as a candidate, but the practical benefits probably would not be ignored by any Senator who hopes to be re-elected.
Neither of these things will guarantee success at the subsequent election, but they allow a sitting Senator to capitalise on their name recognition. Not having a party also does not guarantee Senator won’t be elected, but it does make it more difficult. Creating a party also requires a constitution, and creates reporting requirements for disclosing donations, so it is not completely effort free.
The question is not so much why newly independent senators are forming their own parties, but under the current electoral rules, why wouldn’t they?