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Hi Sphex
I signed up to Coinbase and used Electrum as my main wallet.
I transferred money from my bank account to my Coinbase, then exchanged from sterling into BC within Coinbase. I then transferred my BC across into my electrum wallet to use as the main adress for sending with littlebiggy providers.
If you plan to do this way don't miss out the last step, (don't send bitcoins from Coinbase itself, transfer to your personal wallet (Electrum) or else you can be banned from Coinbase), also, Coinbase takes 1.49% off the value transferred as well as a 0.10p mining fee. Its best to add £5/$5 extra to cover the charges.
Good luck, it's easier than what it sounds, you'll be up and running in no time =)