The local Conservative club is outside my hostel as a matter of fact, it seems to be sponsored by some bitter or others (are all political party clubs in the UK sponspored by Alcohol.. It was like that in Lincoln too iirc.)
Labour Clubs, Conservative Clubs and so on don't usually have all that much to do with the political parties themselves, at least not directly.
One old joke is that more people in South Wales drink in Conservative Clubs than vote Tory.
Ah, so that was probably just a joke then. Because I was told that in 2001, in one of those industrial seats that once had a Tory vote (not in Wales though. I forgot where.) the Tories polled fewer votes than their constituency party has members. And that this was due in part to the Conservative Club being seen as a place to decently drink in, away from pub fights etc.