I'm in the same position as you; doing a maths degree in the UK.
While you are right that the industry is annoyed at the lack of maths skills in undergraduates ([a href="http://news.bbc.co.uk/1/hi/technology/7460870.stm"]news[/a]), I question how well a maths degree we do on it's own. Two reasons for this: pissing around with calculus seems extremely irrelavent with games development, and I read in my careers advice centre that 80% of workers in the games industry have a postgraduate degree.
I'll repeat that in bold: 80% of workers in the games industry have a postgraduate degree.
So if you don't have one, there's probably a one-in-five chance of you getting a job. A feasable chance, but it's a gamble. Other reasons for doing this is that it'll spice up your education beyond "just maths" so that employers can see that you're better geared for working in games, and it'll also give you more time to build up a portfolio.
Please build up a portfolio. When you're going to an interview with 3 other people who want the same job, it becomes a competition. The interviewer is far more likely to pick the candidate with past experience. So do something with the packages that everyone else has been listing. I'm personally going to fiddle with UnrealEd and Flash8 so that I can get my head around level design and some scripting. Afterwards, you will have some appropiate skills and something to wave in the interviewer's face.
Also, it's not a bad idea to get some work experience with a developer, even if you're just a runner (that's the work experience kid, not the girl with the red bag). A huge plus to this is that you'll be inside a developer, witnessing exactly how it's done.
Is there a video games society at your university? If there is, get involved with it and even try to get a place on the commitee if you're going to be there next year (which will be certain if you're doing that postgrad), otherwise you can set it up (talk to your union about this). Do this, and an employer will see that you really have an interest in video games.
A further note about postgraduate courses and money. I'm not certain on whether you can get funding for such a course. The rules seem different to undergraduate courses; there isn't a limit on course fees, and the government no longer gives a shit and is unwilling to give you any more loans.
See for yourself: http://www.direct.gov.uk/en/EducationAndLearning/UniversityAndHigherEducation/ChoicesAfterYouGraduate/DG_10012463
There are various other things that might help you; the university might be willing to fund at least some of the course, you could try to get sponsership (it's a mosh pit for this), or you could get a personal loan if you're really serious (not something I'm inclined to recommend), or just study part time and work the rest of the week. It could cost a lot, but in the end you will fall into that 80% I told you about.
EDIT: anchor tag broke