First thing is to get your CIS registration number from the tax office when you get your appointment. They will also tell you how you can pay your insurance stamp(NI contributions). Get this number asap 1969 then you will be paying the going tax rate for self employed. Until then you will be paying 30 per cent, which you dont want.
As regarding agency work, there are good payers and bad, like firms in a way.
I have dealt with a lot of agencies in the past, there are some good ones out there, such as Forefront, Thorn Baker and a good few others, but there are some you should avoid like the plague. As the previous posting explains, being self-employed doesnt mean you need to work for agencies.