Hi Shotzy
I just did this EXACT thing this week. I am a UKC and my wife is a USC and my I-130 is already being processed. We've been here for 7 years and are wanting to emigrate ourselves soon.
Basically as you say you need to file the last 3 year's 1040 forms along with supporting forms as required. If you are self-employed you need to file a "1040 Schedule C" form and presuming you want to exclude your last 3 year's earnings from paying the IRS any tax in the US you will need to file form 2555 for foreign income exclusion. If you are lucky enough for your earnings to be above the threshold for each of the last 3 years (between 80,000 and 83,500 USD per year) then you can also claim a tax rebate via form 1116 as the UK and US have a tax treaty.
You need one of each of the revelant forms, for EACH year you are filing.
Any other questions, just ask. As you say it's confusing as hell, I have learned a tremendous amount about this process in the past week, ask while it is fresh in my mind.
If you prefer, or in addition, the tax helpline at the IRS desk at the US Embassy in London is EXCELLENT, they are very helpful and will assist you with sepcific questions on forms if you need to. Fortunately, the number for this desk is a standard London 020 number, and not a LUDICROUSLY overpriced 09 number helpline - like the USCIS one - which gave me wrong advice when I called it!
The contact details are here for IRS at the London Embassy:
http://london.usembassy.gov/irs/irsfaq.htm
