Yes, you have to sit the 9 CPL(H) exams. First you have to register with a Flight training organisation for starting the theoretical knowledge course. After you sat your exams, you have to do a flight with the head of training to determine how many hours you would need before you can take the fligh test.
Course cost about £1,500.00 The CPL exams are £60.00 each. Flying is around £300.00 p.h. and the actual flight test is £700.00 excl. the helicopter. Then licence issue £210.00 and radio operators licence £63.00 (you also have to take a test for that)
It's a tedious affair but one has to go through to be able to fly in European Airspace.
You can start doing the studying online.
http://www.cranfieldaviation.co.uk/ (cpl)
http://www.bristol.gs (atpl)
http://www.dragonhelicopters.co.uk/ (cpl)