Well I presume you are going to be in the centre of town, so you might as well pop into Orcs Nest. You don\'t have to buy anything - you can just browse - honest! Its just off cambridge circus - so if you are going to any of the main theatre shows its within walking distance.
Apart from that there is one up by the british museum (the name of which escapes me - playing games i think) their roleplaying section etc is in the basement.
Dont bother with the games store near the British Museum. Just go to the British museum. More loot and epic level artifacts to make even a level 20 adventurer excited
Well besides what they have mentioned you could check out one of many GW stores in London or Maybe Model Zone, a good hobby shop worth checking out.
Now if you have a fee day and want to go to Mecca..then catch a train to Nottingham (2 hours) then a cab to GW HQ and spend some time there at Warhammer world and see the museaum and you might be able to arrange a studio tour too..Im not sure. The catch a train back to london late afternoon. Drop me an email if you want any more details.