You can set your own LTD up on line via Company's house web site for about £35 quid, or there are numerous websites that will do it for you. I had my company documents in 2 hours!
PAYE has to be done in real time these days - either monthly or quarterly and in advance as far as I understand. So you can no longer get to the end of a six month contract and then submit PAYE. I think my account charges me about £75 per year to sort mine out for me.
But as MR says, find a good accountant and get their advice.