I've often been told by other religious leaders that before I proceed with my preaching ministry I should first "set" under a pastor or minister. Could you give me some biblical reference to this?

I do not believe that there is only one acceptable way to prepare for service to the Lord. It appears that God is willing to use a multitude of ways to prepare His servants. However, there are general principles that should be followed unless God intervenes to reveal that He will do it differently in a particular case. One of these general principles is that the one who is called spend some time training and preparing under others who can help him grow in the work of the Lord.

This is seen in a strong biblical pattern. Joshua served under Moses. Elisha served under Elijah. Elisha is called the one "which poured water on the hands of Elijah" (2 Kings 3:11But Jehoshaphat said, Is there not here a prophet of the LORD, that we may enquire of the LORD by him? And one of the king of Israel's servants answered and said, Here is Elisha the son of Shaphat, which poured water on the hands of Elijah.
See All...). The apostles served under Jesus. Timothy served under Paul. There are other examples as well. It is true that God sometimes makes an exception. Moses was taught on the backside of the desert. Paul went to the desert for instruction from the Lord (though after this he was guided for a time by Barnabas). But these exceptions are clearly that--exceptions.

The very ministry of Jesus and the emphasis He placed on training the disciples is important. So is Paul's statement to Timothy in 2 Timothy 2:2And the things that thou hast heard of me among many witnesses, the same commit thou to faithful men, who shall be able to teach others also.
See All... - "And the things that thou hast heard of me among many witnesses, the same commit thou to faithful men, who shall be able to teach others also." We are to learn from others who are ahead of us and then pass that learning to those who are behind us. Paul did not just write letters to Timothy and Titus. He took them with him as he went and did the work of the Lord. He personally trained them. 

Another reason for this time of growth and learning is seen in the warning given to Timothy about the placing of men into the pastorate. He says, "Not a novice, lest being lifted up with pride he fall into the condemnation of the devil" (1 Timothy 3:6Not a novice, lest being lifted up with pride he fall into the condemnation of the devil.
See All...). A novice is one who is new and inexperienced. If he is placed too soon into an important place of responsibility, it may cause him to be lifted up with pride and this may cause him to fail.

The responsibilities and pressures of ministry are much greater than those who have never been there can understand. I have seen many go too fast and end up quitting entirely. It is good advice to take it slowly. I have found that those who do all they can to serve the Lord will soon receive more and more opportunities.

I do not know you personally, so please do not take these final statements wrong. I just think they need to be said and it is better that they can be said generally. I think there are two things that need to be considered. First, those who are giving you this advice may see some areas of immaturity in you that need to be addressed before you carry a heavier load of ministry. If you have some trusted and godly people you can talk to, ask them what areas in your life need the most growth for you to serve in the ministry. You may not like what you hear, but it may be one of the best things for you.

Second, and on the other hand, many preachers and pastors either do not know how to help others or do not want to help others develop in the ministry. Sometimes, it can be because of jealousy or fear of a rival. At other times, it may be through ignorance of how to proceed or fear of not doing it correctly. You can see if they are serious in helping you by being eager to serve in any capacity. Ask your pastor to guide you so that you can develop in the ministry. Offer to go to funerals or preaching meetings with him. Ask questions about the work of the ministry. You will soon learn if he is willing to help you or not.

Finally, sitting under a pastor does not mean sitting on your hands and doing nothing. Be active in the work in your church--especially in any kind of outreach ministry. Look for opportunities to serve. There are many; ministries like nursing homes, prison ministries, door-to-door, and much more. Find what is available to you and do it. If you are called, God will soon open more and more doors for you. Go forth and serve the Lord.