Tier 2 appeal successful recently and now changing employer

[asim_t2]

I need an advice from experts.
I win my appeal for tier 2 visa in September, got determination on 14th of September. That was a big relief for me but by the end of September we all at my work place come to know that all of us going to be made redundant in December due to closure of that branch where currently I work.
I got a job offer from different company already. Now they want to apply Certificate of Sponsor so I can start working with them.
I need to know how I can avail that offer even though my visa not endorsed yet and what happen if I give notice to my current employer before they make me redundant does it effect to my visa in any way or do I have to be with them until visa endorsed on my passport.

After winning my Tier 2 appeal I send a letter along determination to AIU Leeds at this address

AIU
UK Border Agency
PO Box 502
Leads LS1 2ZE

And requested to speed up the process as my wife want to travel urgently
This morning I got a reply from them stated that they are not relative department for Tier 2 visa after winning appeal. Is there any one who can suggest me where should I send a letter or any other thing to do for urgent visa endorsement for me and my dependents.

Many Thanks