Hi Damy,
I was in the same situation like yours, ie I was in full time employment until Feb 17 and then started my own Ltd company in Mar 17.
I have applied for naturalisation in May and got my approval last month (Sep 17)
In my application I have mentioned the following (in page 12 I guess where they have a page for fetching any additional info),
1. I am attaching my last 5 years P60 (if you dont have then dont worry just attach what you have) proving you have paid tax correctly for past years when you have been in full time employment
2. I am attaching my company incorporation certificate (which has my newly formed company number and details etc) and VAT registration certificate to prove that I have registered as self employed since March. If you are not VAT registered then it doesnt matter, dont worry.
3. I also mentioned that my very first self assessment (SA) return is due only by Jan 2018. So I haven't filled any SA returns yet. So I have met all my tax obligations up until the date of my application. I also mentioned that in case of any further information or doubts please call me.
Add a lots of "kindly", "please", "thanks" etc in the section. Also be dead honest of what information you give, that is the MOST important bit.
Just to put your mind at ease, I followed the above template and got my approval. So as long as you are honest and ready to provide all information, then you should be fine. Good luck with your application.