You can only qualify for the 401(k) that your current employer offers/manages. So yo can't contribute to one on your own, unfortunately, you just have to wait the 8 months!

What you can do is to open an IRA, (which will require some fancy paperwork when you do your taxes since you'll get a tax break on your contributions), or the easiest route would be a Roth IRA, which you will fund with after-tax dollars (but pay no taxes on when you withdraw after age 59.5)

I commend you for wanting to start saving this way. Enroll in the 401(k) as soon as you are eligible, the company may "match" part of your contributions-- that's 'free' money!

To learn more about Roth's, read this:

http://en.wikipedia.org/wiki/Roth_IRA

Any reputable company is okay to use, just search on "Roth IRA" and maybe the dollar amount you'd like to invest each paycheck.

Good luck!

P.S. You won't be able to "roll over" any money, you cannot typically co-mingle funds that way. You can't roll your personal IRA funds into a 401(k), and you can only roll funds out of a 401(k) when you leave the job. But it doesn't all need to be in the same place!

I think the easiest will be is just figure out how much do you want to put into this plan total for this year, start putting aside that much into regular saving account, then when your company lets you enroll, just start with "supercharged" contributions to make up for the whole year. Use money from the saving account to simply supplement your paycheck if extra large deduction is too painful. After you're done catching up just change your deduction back to normal levels. Don't worry about stock market running away from you or things of that sort. No one can effectively time the stock market anyway, plus 401K is for a long run, so it will not matter 20 years from now whether you deposited that money in January 2007 or September.
You can't really open another 401K outside of your work, you can open an IRA, but limits there are much lower than those of 401K, and after that rolling it over may be too much hassle.
But if you really want to open an IRA, I would use any one of those discount brokers i.e. Ameritrade, ETrade etc. I wouldn't go to a local bank, they kill you with fees.

You can only contribute to a 401K plan sponsored by your employer.

Start dumping money into a Roth IRA and when you are able to contribute to your 401K do that.

If you can do both, you will be more than happy come retirement.

Start an IRA at your local bank. They can't take the money from your paycheck but they can take it the same day that you deposit it. Invest in CD's or even cash. Doesn't matter. Most important thing is that you don't lose capital. Assume that you make 5k a month and you defer 10% of that or $500 each month. Assume too that you would make 8% of that in the 8 months. That's a whopping $95. The effort that it would take to start the plan at a mutual fund company AND the expense ratios associated with them would make it worth even less to you. Stick to your local bank and CD's. Then when you become eligible for your 401k, get a distribution form from your bank, fill it out electing a direct rollover to a qualified plan (someone else said you can't roll from an IRA to a 401k and that's 100% wrong). When you receive the check, it will be made out to the plan so give it to your HR and they will deposit it. Thus you've "contributed' to your 401k before you were eligible. You won't get matched on it but it's still in there.

The supercharging idea also works but you have to be diligent and not touch it. Keep in mind though that you still won't get matched on that amount. You'll be capped at a certain % (depends on your company) based upon the earnings while you're eligible not your entire years earnings.

Good luck!