The Welsh government has set up some useful websites. This link will take you to the start of a series of pages of starting your own business. There is a lot of good advice here. Obviously, most of it general but it is worth reading. The links on this site will give you a good grounding. in topics like preparing a business plan, market research, marketing and finance.
You can make a start by going to https://businesswales.gov.wales/zones/starting-up
There are very few differences between the legal requirements in Wales and those in England. There are a few more between Wales and Northern Ireland and Scotland. However, most of this is basic business advice and is helpful for anyone looking for the basics.