Conf Bias, suggest you speak to some accountants rather than pilots - I tried a similar search when I was setting up. In the end I arranged to see about 4 or 5 local accountants, explained the scenario rougly and asked them what they would propose both for me and what it would cost to set up. It was a very useful exercise as I was able to gain some free info and advice from the accountants I saw, was able to see that some were alot more proactive than others as well as a vast price difference in accountants fees!
For me personally I went self employed, but the company route that has already been mentioned is another option some of the guys have gone for. I plan to do that when my income increases. Being self employed is a little cheaper to setup/run and allows some more expenses to be recovered. I've heard alot about the IR35 stuff, not sure what to think - part of me is hoping they don't notice!