I think ANZ means Australia New Zealand.....so you probably can! I would think that it would be ALOT cheaper using an Aussie bank account rather than taking money out of your credit card or your UK bank account. Have a look on the ANZ website - I think they have how much the charges are on there somewhere....I don't think it's that much....
As a back up I would suggest you open a flex account with Nationwide (if you haven't already)as you can use your card for free anywhere in the world and you actually get a better exchange rate than from the bureaus etc.
I believe the AUD is around 2.38 in UK at the moment and I am getting 2.43 AUD with my N.Wide cashcard.
I have also found it a useful back-up for obtaining cash when I can't locate a Citi-bank cash machine (as others have indicated).
Nwide are also a good bank and you can obtain your bank details online.
Most bank accounts in Oz generally work out the same I think in terms of charges, I've got the Citibank card which is similar to other accounts apart from the lack of "over the counter" service. Depends on what your looking for. But in terms of charges most banks are around $5 a month or something whilst if your budgeting and making 5 withdrawels a month from Citibank it costs $5 anyhow. They'll get you no matter what.
The tax file number is easy enough to get although I think you need to wait until you get to Oz to apply, even online, as you have to put in your visa number from your passport etc.?!
You'll be right!