I've just had a quick look at 3 different books that were handy on my bookshelf, and they all say that fennel grown from seed in the Spring almost always bolts :(
They recommend planting in early to midsummer, and growing and earthing up quickly, or there's a risk of the plants running to seed before they've formed a bulb :-\
I was going to have a go at fennel next year, but I'm not so sure now :o Sounds like it can be a bit of a difficult customer :(