I heard that some people have been arrested and charged with "transmitting money without a license" for selling Bitcoins.
Does this mean it is illegal for me to sell my Bitcoins?
Depends mostly on your country, some countries dont have any rules, some completely block it, also in some countries you need to pay tax about it.
i thin still not a single country has given any statement about bitcoin, i think still they do no feel the need to give any statement about bitcoin, therefore ever one is free to use bitcoin either sell it or buy it or hold it,
You are right we are free with our bitcoins none of the country have control over it and they do not have any restriction over it and I have not heard about any person who has been arrested for the using/selling of bitcoins.