My 4 year old goes to a great Taekwon-Do class at Latchmare Leisure Centre and he loves it, he has been going for a year (they take kids from 3) and my 2 year old watches the classes and is also pretty good at Taekwon-Do although he can't start lessons for another year! The company is called Taekwon-Do Impact and the teachers are fantastic - highly recommend it for girls and boys.
Maloca on Point Pleasant, SW18 1GG do martial fitness classes for children www.malocauk.com as does Wandle REcreation Centre by SOuthside/St.George's Park