Thanks for your replies Katy and Forestfire.
I wonder how many people just assume that when dealing with currency brokers you are covered by some regulatory body. I just assumed they would be regulated by the FSA. The problem is that you don’t really have any other option when transferring large sums, I had heard that you could take a UK sterling cheque to your bank in Spain and they would convert it into euros at the interbank rate but have not tried it!!