In your store's Admin area, go to the System > Localization > Locations
Enter
Location Name: Name of the location. You can define this as anything you like.
Description: Description of the location. You can define this as anything you like.
After you have made your changes, click save button. The Location Zones Tab will appear. Adding Location Zone - click on insert button. Select Country and Country Zone.
You can add/remove several Location Zones to/from your Location with no limitations.
Locations can be set up for taxes, shipping methods and payment methods.
Example for the Royal Mail shipping zones:
Location Name - UK Royal Mail
Description - UK Royal Mail Shipping Zones
Country - United Kingdom
Zone - Aberdeen
Country - United Kingdom
Zone - Aberdeenshire
Country - United Kingdom
Zone - ..etc...
You might not want to include all zones as some UK zones may be offshore and require a higher shipping rate.