Establishing an Individual 401(k) might only take you a matter of minutes. You can establish a Self-Employed 401(k) by going to an Individual 401(k) provider, or asking your Financial Advisor for help and/or recommendations.
However, make sure that you are satisfied with the conditions your provider offers. There are dozens of choices available to you, all with different investment options and fee structures. There are plenty of good ones without annual plan fees, lost cost investment options, and a wide variety of investment choices.
Many of them will only offer their proprietary mutual fund family, but some will offer more variety. The application and establishment process is as simple as starting an IRA, basically, and can most likely be done on the computer or over the phone. There are no federal reporting requirements for the plan until it has exceeded $250,000 in assets, but some custodians may start filing as soon as $100,000, just to be safe.
The form required is the 5500, like a regular 401(k), but individuals can use the 5500-EZ version, which takes much less time. The plan will not require annual audits or top-heavy testing since you (or another owner, and your spouses) are the only plan participants, so it is not subject to ERISA.