Holding shares in a comapny may not be a great idea as it depends on if you are a share trader or a share investor
If you are a share trader (transactions on income account) a company may be a good idea. If you are a share investor, transactions on capital account and you hold for longer than 12 months a company may not be so great. A company does not get the 50% cap gain discount and to get the money out it will have to be paid as wages or dividends where it will be taxed at your personal marginal rate.
On option maybe a Family Trust with a corporate benficiary.
A lot great depends on how you treat your share trading/investing, future plans and family situation, YOU REALLY SHOULD SEEK PROFESIONAL ADVICE, as to what is the best way to structure your affairs
But as for setting a company it is a fairly easy process and I have uses the this site among others a few times
