As an options trader for a prop firm in Illinois, should I register as an LLC for tax purposes?

I work for a proprietary options trading firm in Illinois. I am considered self employed and receive my commission checks before taxes have been applied. I was told by a CPA who works in the industry (but is a new trader) that it would be in my best interests, from a taxing point of view to register myself as an LLC, and have my company make my commission checks payable to my LLC. He claims that this will save me at least 10% of annual taxes I would otherwise have to pay. Is this correct, and if so, what other considerations should I look into?