did it a few times myself
pick what leagues you want but include a league that has a january or february start. select jan/feb 2012 as a start date and turn off "allow transfer budgets in first window". then i holiday until may 20th(afterthe champions league final) and boom the seasons are over and i start as normal. (i always have a save that is called "new game July 2011 stat engl spai ital germ" and "new game may 2012 stat engl spai ital germ" i have every league loaded but as background leagues. these leagues are the only ones i play. but ireland which is a januay start is a background league also). having the "new game" save helps when i want to start new game and i dont like waiting for it to load
hope this helps