Do not agree to do illegal work. Always take your tax deduction card to your employer when you begin at a new job. Insist that your wages are paid into your bank account and you are given a proper payslip. The employer subtracts tax deductions.
You can order a tax deduction card from the tax office (http://www.vero.fi/). When you visit the office and apply for your tax deduction card, remember to take along your employment contract. The office needs it, because it shows the wages that you pay taxes on.