Private Pension to claim tax relief missus 3rd parties

Hi guys,
This question has possibly been done to death but I was just wondering how might I go about setting up a pension to claim the tax relief. I would like to play with the idea of having no 3rd party involved as it results in there rip off charges, etc.. for giving sweet dam guarantee on returns if they don't even loose my money. I can't join the company (that I work for) pension scheme at the moment due to a restriction from them so I would contribute to my pension until I could theirs then transfer the amassed funds into it. I would imagine if I have to choose how to invest the money I would leave it in bonds or other such low return investment (as I can't really say safe investments) but should mean the sum will just amass itself.

Thanks,
Fi.