http://clubespac.wordpress.com/ is very interesting.
Clube Atlético Pinheiros, Clube Harmonia and Clube Atlético Paulistano are wonderfully equipped, although rather selective in terms of accepting new members and costs involved.
Oh, I almost forgot to suggest Clube Paineiras and Clube Atlético Indiano (where I used to go when I was a kid, decades ago).
I don't think language will be the main problem. AQnyway, a club is not among the first priorities when you are ssettling in a new territory and many people will be glad to offer you other suggestions concerning clubs they go to.
In case you want a more reasonable cost-benefit choice maybe you should consider a visit to our local YMCA, which we call ACM - associação atlética de moços,, for the whole family, espcially the units located in Lapa and Pinheiros. The one downtown is kind of requiring maintainance in some aspects of its facilities.
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