If its down to you as a tenant to pay the fuel costs and you name is on the bill then yes, you as the account holder have a contract direct with the fuel company.
We do recommend before you make any changes though, its best to double check the tenancy agreement or contact your landlord if in doubt. They may have a preferred supplier and they may ask you to switch the provider back to this when the tenancy agreement ends.
If the energy bills are paid for by the landlord then you don't have the right to alter the contract yourself, you will need to speak with the landlord or managing agency to ask if a switch is possible.