The biggest cost is your time. Running a law firm, even a small one is a responsibility and you should budget around two months of your time to set the firm up and do all needs to be ready to trade when the licence comes through. Ongoing time commitments vary, anecdotally it may take up between 10% and 40% of your time, though probably at the lower end of that range.
The financial costs also vary enormously. The following gives some indicative costs assuming a two partner firm turning over £200k per partner (ie £400k in total) in year one, but it is acknowledged that resources may not extend this far or, in the alternative that for ambitious firms these costs will be a significant under estimate. Based on this example PEP would be in the region of £140k.
There is an alternative solution if you seek all the flexibility and freedom of setting up your own law firm but wish to avoid the investment inherent in setting up.