Holy cow... sorry... got way distracted, then couldn't fine this thread!
Anyhoo, maybe we'll continue this in pm if you have more specific questions; and now that I reread your post, I'm not sure how much I can tell you, except to agree, there are LOADS of opportunities for classes, groups, etc. in the arts... from dancing to drawing and painting, etc. I've found I need to let go of a few interests for a while so as to focus on one and finally make it happen for myself, and that's acting... a primary reason I moved here.
I did take tap dancing for awhile, at the Actors' Centre, which is primarily focused on acting classes, etc. and happened to have a tap class available, and the teacher was amazing ... if I find out where else she teaches, I'll let you know, because if not for her, I might have quit... I'm not very good, but I love doing it, and the class was mixed; but she knew just when to turn around and smile and say 'keep going! you've almost got it!' and everyone in the class was lovely and patient.
I know Aimiloo took classes at the ... crap, forgot the name now... the dance centre, something simple like that on Oxford Street, which is supposed to be a little better/less trendy than Pineapple Studios... and I know a lot of gyms are offering various types of dance classes as well.
I'm also going to look into City Lit and see what they have to offer; as I've been told they're just as good or even better for classes in the arts - the Actors' Centre is for 'professional' (union) actors only, hence its limited selection as well as membership.
Aside from the performing arts, I also have a membership at the Tate. And whenever I get restless, depressed, or... whatever negative emotion, I head off there, or the National Gallery, or the National Portrait Gallery, and just wander aimlessly... it's free, and talk about humbling and fascinating.
There are also social groups that organise outings for people specifically interested in the arts; be it theatre or museums... that's still on my list to look into.
I'd also go to sites like londontown.com or upmystreet.com and do general searches on classes, etc., and then if you have further questions to see if anyone has firsthand experience or whatnot, post them here.
So for me personally, my path upon arriving was: join Equity, join the Actors' Centre, start networking, take a dance class... and build from there.
Again, sorry for the delayed response, and hope at least some of this info is helpful!