If you have an Amex card already, you can use their card transfer service.

Alternatively, many of the big Australian banks can set you up with an account before you leave the UK. I went with Commonwealth, and used their international support team based in London:
http://www.commbank.com.au/personal/...a/default.aspx

As mentioned already, read up on the Living Away From Home Allowance. You are not legally entitled to it - it's up to your employer if they decide to set it up. But it makes a large chunk of your salary tax-free, so definitely worth asking for.