Technically you can go straight to CPL but really only the integrated courses that are designed to lead you directly into commercial aviation do that. For a summary of the licences, try wikipedia:
Pilot licensing in the United Kingdom - Wikipedia, the free encyclopedia. The full official details are in the LASORS:
http://www.caa.co.uk/docs/33/srg_lts...Bookmarked.pdf
If you are thinking of going commercial in the future, it might be worth getting a class 1 medical early to confirm there are no other complications. I don't know about the ENG1 medical - but I went through an able seaman's medical for working on passenger ferries and the class 2 flying medical was much more detailed (so the class 1 must be extremely detailed!).
Agree with doing the theory early, although some of it wont click into place once you have actually gone flying. I'd learn the material though before testing yourself. There are a number of series available to buy (and cheaper second hand via amazon / ebay). Cheaper to buy all the bit separately though rather than one of the all singing, all dancing sets for those people starting as you wont use half the stuff in the sets.