The Cafe De Paris was used as the setting for the 1929 film Piccadilly which starred Anna May Wong, who briefly hung out with London’s Smart Set. She had been brought to London by producer Basil Dean after her success in Berlin where she was friends with Marlene Dietrich and Leni Riefenstahl. Constant Lambert was much taken with the actress and wrote a musical suite dedicated to her but Eric Maschwitz, with whom she probably had an affair, went one better, writing the lyrics to the most evocative song of the era, “These Foolish Things (Remind Me of You)” in memory of their encounter.
Here’s a clip that gives a good sense of the atmosphere of the place (the music is a later addition).
British Pathe is the best source for film of pre-war London club-life although it concentrates very much on the cabaret acts rather than the bands and the dancers. http://www.britishpathe.com/results.php?search=london+cabaret
Here’s a Youtube compilation of some of those clips – fine, particularly if you like the Weston Brothers. The sequences include footage of the Kit-Kat club and Playtime at the Piccadilly.
High Society favourite and resident at Ciro’s, Chez Henri, Cafe De Paris, Monseigneurs, Cafe Anglais and elsewhere, Leslie “Hutch” Hutchinson, sings These Foolish Things