Ref above, definately the way to go. For example, I was taxed on my UK pension with exchange rates of 2.40 to 2.80 but didn't actually send the money across.
Now the rate is nearer to 3.00 I have just transferred a wad across. All totally legal. You don't need an offshore account either. I used my standard Uk account and my NZ account. There are many online brokers who will give rates better than the high street banks and far lower commission.