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Definitely best to open a UK bank account once in the country and then transfer your money. When I moved to London and needed to transfer a large amount I used an online money transfer service, in this case 1st Contact Forex. They had decent rates and fairly low fees at the time, and it was fairly simple to transfer via online banking.
If you need money in the interim before you go you could just get a prepaid currency card such as Cash Passport etc. Not sure if it's cheaper than buying the cash from a currency exchange.