Hi Jenny
M4 and off at the Penarth junction is correct. Carry all the way down the A4232, over a bridge then through a tunnel.
After the tunnel there's a roundabout where you take the first exit, followed almost immediately by another roundabout where you take the first exit (it has a dedicated left turn lane).
At the next roundabout (County Hall will be on your right, and the car park for the Atlantic Wharf leisure complex on your left) you take the second exit (straight ahead).
You now need to take the first turning on the right into Schooner Way. Carry on past the Holiday Inn Express on your right; the road bends right and the turning for the Wharf is on your right almost immediately. It's easy to miss.
Andy teaches LA-style, though he occasionally sticks in the odd Cuban move for a bit of variety. It's a good class, well worth going to.