Also you are required to let them know within 90 days of starting 'work' that you are self employed otherwise they charge you a £100 penalty.
I just left the whole lot until the the end of the first tax year, requested the tax self assesment forms etc and was then told I should have registered as self employed much sooner. I asked how I was supposed to know this as I'd never been self employed before but it cut no ice.
Being self employed has its advantages and disadvantages, the biggest disadvantage is that you are possibly not covered by the employers liability insurance. I would certainly look into this in much more detail before I considered working on a self employed basis again.