First you need to get a box sorted out - the specifications for them are here - http://www.opsi.gov.uk/si/si2005/20051082.htm. You can either build one, or buy one - the boxes from these people http://www.black-powder.co.uk/woodenbox.pdf are very reasonable.
Then you need to apply to the police for an explosives certificate - free of charge They will check that you have appropriate firearms on your FAC or SGC, and then probably come out to inspect your security and storage arrangements.
When you get the explosives cert sent to you, you can then apply for an 'RCA' document - a 'Recipient Competent authority transfer document' - which allows you to move the stuff from the shop to your home, and then to the shooting club. You get these by writing to the HSE and asking for one - at
Health and Safety Executive
Explosives Policy
Rose Court
2, Southwark Bridge
London
SE1 9HS
Also free of charge. No forms for the last one, just write and ask for an RCA document, telling them that you have been issued with explosives cert number....
All quite easy, really.