I set myself up as “autonoma” rather than an SL company as I am only one person and not a very big concern. Depending on the size & turnover of your company, one maybe better than the other.
I only had to go to the Hacienda to register the business, and then to the Social Security offices to register there. All in Spanish of course, so if that is a problem get someone like a gestor to do it for you. It didn´t cost me anything at all to set up in business.
Are you under 35? Female? If you are you´ll find lots of grants available to set up in business. I got two, each of 6000 euros from the Junta de Andalucia. I had to complete and pass a course producing a business plan for one, but the other grant was pretty much a giveaway.