Welcome to the Payroll-Help Forum and thank you for posting your question.
I can't find any specific HMRC guidance for this situation but, using the following clues - page 23 of booklet E13, then page 20 of booklet E13, then page 2 of booklet E12, I think we can work it out. Even this last page is not specific but, on the basis that the P45 was issued in the last tax year, and the employee started work for you in the last tax year, my interpretation is that you should use the code on the P45 and adjust it in line with the instructions on the P9X for 2011/12. So, if it is an L-suffix code, you will increase by 100 and apply it on the first payday in April. In effect you have done what you would have done if you had received the P45 in time for the March payroll.
Ian Congreave retired from his payroll and HR work at the end of November 2011. He founded the Forum in 2004, when it was known as the PayPerShop Forum. Ian would like to thank the many Forum members who have asked and answered hundreds of questions and helped to make the Forum a valuable resource to the payroll community.