You do not need to file the returns before the I-130, but he should get started on them as soon as possible, especially as he has never filed before. He should file for the years 2005, 06 and 07. It is a fairly straightforward process. He will need IRS forms 1040 and 2555-EZ for each year. He will also need to know what he earned in each of those years -- remember that the US tax year runs January-December, not April-April like in the UK, so this might involve a little computation.
I assume you don't have a social security number -- make sure he has one, or knows what it is. You (as the UKC) will not need a social security number or tax id number to file taxes if he files married filing separately; put "NRA" for non-resident alien in the SSN box for you if you have neither of these. He can exclude his foreign earned income on the 2555-EZ up to $82,500 (I think it's that number -- you should double check) which means that unless he earned more than that in the UK each year he will have no tax liability, and hence no penalties will accrue if he files late.
It is not hard but it is a pain in the rear end nonetheless. If you need advice, call the London office of the IRS; as Poiteen and I can attest, they are great guys. Their number is 020 7894-0477; you can call Mon-Fri 9-12. Or your husband can see them without an appointment Tues-Thurs in London at the Embassy -- he'll need his passport. More details are available on the Embassy website:
http://www.usembassy.org.uk/irs/index.htm.
Good luck!