Hi Richard,
My advice, don't do it,
Maybe get an accountant to do paper work, depending on how much money you have. Keeps you from being bogged down with as much paper work.
Once you know what you are doing then perhaps take it on yourself.
Yellow pages = no good, unless you are AAAAAA Plumbing
Yell.com, Pretty good, but don't buy the package a bit of a waste of time. Medium weight listing is just as good as heavy weight.
Local paper = Never tried it as a bit too expensive £40 per week, however I have been told, it is really good,
Website = I get 90% of my work from my website, Doesnt need to be flashy but add yourself to google maps/ places, again if you have a bit of money spend money on SEO ( search engine optimisation) I spent 2-3 months doing it myself and really got a massive response when I had finnished.