Sometimes it is a gray area as to whether you are really an employee or an independant contractor. Assuming you are an independant contractor, they will not do any tax withholding for you and you will be responsible to pay estimated taxes and self employment tax.
As a self employed independant contractor, you can set up a retirement plan. If your goal is to put aside as much money pretax as possible, a solo 401k is a good choice. I believe Brewer's wife established such a plan for her business. There are more and more providers of such plans and you should be able to find one that doesn't cost you a whole lot. There are other options like a SEPP IRA as well.