Your employer needs to set you up on their PAYE system.
They should give you a P46 to fill-out and sign.
However, if your employer has specifically requested that you obtain your own P46 form and fill-out yourself then contact HMRC to get one. There's no problem. But seriously your employer should do it.
They have a responsibility.
Are you sure your Employers payroll person/team has told you to do it?
Anyway all will be well, believe me.
The emergency tax code of 1000L will not make any deductions based on your salary level.
Relax