@Carly
I’m with @Jeruba on this one. The only reason to set up a separate legal entity for your writing is to address tax concerns (e.g., self-employment taxation) or to limit legal liability associated with the writing. Neither of these should be a consideration until you’re really, really making money. ;-)
Once you’ve written the story, you’ve copyrighted it. As long as you don’t start giving it away to people for free, legally it’s your property until you sign the contract with the publisher. It doesn’t matter how you want your name on the work or who you want the check made out to (UNLESS there’s something about the work that could count as defamation and you’re attributing the work to a real person that’s not you).