The things I did when I got to the UK first:
1. I added myself to the electoral roll (understood not everyone can, but as a citizen of a commonwealth country, I was allowed to).
2. Bought myself a starter pack in my home country which allowed me to open a UK current account to get proof of address.
3. Signed up with Experian and had my account confirmed (this involved sending proof of identity and address using my new current account and details of my previous addresses from my home country)
4.Rented a place and added my name to all the utilities (BT and British Gas)
5. After 5 months I took out a fairly large (£7500) personal loan from my current account provider and repaid it over 9 months.
6. Then started opening mobile contracts, credit cards and so on and of course made sure that I never missed a single payment for anything.
I managed to get a mortgage after being here for 4 years and haven't ever had any issue with obtaining credit (and I've done many, many credit applications as I link to earn interest on money obtained with no interest to pay back

)