I Knit London: a yarn store, place to chill out and knit and social event organiser based near Waterloo Station. http://www.iknit.org.uk/
They have a mailing list, which is quite a good way of finding out what is going on in the city as far as knitting and crochet goes. I've only ever been to their big annual event rather than one of the many smaller nights, but they seem to organise a lot. The shop itself is a bit expensive for my liking (but I am stingy), though they do have some cheaper, standard quality yarns alongside some very gorgeous (pricier) things. I think I might develop a sock fetish thanks to this place.
If you don't mind big stores, John Lewis in Oxford Street sells the big brand stuff (a wide range of Debbie Bliss etc.), if you need that kind of thing; (FYI it's a national chain of department stores that is collectively owned by all its employees).
Anyway, I hope you enjoy London. Having moved here a couple of years ago, I know it's easy to feel lost and alone in the city - but going out to meet people with the same interests is the best way to make it feel like home