Should I set up a limited company for delivery work?

Almost certainly not. At the profit levels most delivery drivers reach, a limited company costs more in accountancy and admin than it saves in tax.

A company means annual accounts, a corporation tax return, a confirmation statement, probably payroll, and a personal Self Assessment on top. Most accountants charge several hundred pounds a year for that, against a sole trader return that many drivers file themselves for nothing.

The tax advantages only start to bite when profits are high enough that paying yourself in dividends beats paying Class 4 National Insurance on the lot. That is a conversation to have with an accountant using your real figures, not a rule of thumb.

There is one non-tax reason people do it: limited liability. For delivery work that matters far less than it sounds, because the risks that actually hurt a driver are covered by insurance, not by company structure.