We go to Italia Conti on Landor Road (5 mins from Clapham North tube) they have loads of different dance/drama classes all day Saturday.
Tbh I have no idea how "good" they are, because we're not that serious about it, but my 7 yr old dd enjoys her classes, and they're convenient for us (and not too greedily priced - they're very understanding about costs of uniforms and things).