Hi, welcome here. Where in Wales would you live?

Anyway, most of the documents you would need when you'll apply FLR(M), ILR and citizenship would be acquired when you're already here. No things coming from the Philippines other than passport, birth certificate, english test results/certificate, probably some IDs and cenomar (although you can bring your diplomas or certifications if you want). Most proof of address should be here in the UK and you and your fiance can settle it right away when you come here, like tv license, electric bills, water bills, etc. Register to a NHS GP at your preferred surgery too (http://www.nhs.uk/chq/Pages/1095.asp...CategoryID=158). You can work only after you get the FLR(M). Employers would need your passport and BRP card showing you can work and your CV. Also, you need to get a NI as it would be needed for work (http://www.hmrc.gov.uk/ni/intro/number.htm).

If you have any land titles or any land/house properties, I would advise you to have the original docs with you, not because it would be needed in the application but because you would have the assurance of having it just in case there would be problems in the future. I also advise you to have at least a bank account in the Philippines as you would never know what would happen in the future and you might need the money.