My 3-year-old daughter goes to the Woodland Montessori Mandarin club on Saturdays (10am to noon) at the Midlevels school. She really enjoys it.
She also has lessons with Mandarin for Munchkins / Yifan Mandarin (they learn through play, but it's not exactly a playgroup). The groups are nice and small and the teachers very good. Her classes are held at Queens Garden function room, Old Peak Rd, on Mondays but I understand there are also classes held at Bamboo Grove, Wanchai (Wednesdays).