Hi there! I am looking for the same too and had found some places, you might be keen. What type of cooking you looking for ? Anyway, here is a run down of three that I know off, now.
a) Mandarin Oriental (3 course cooking class)
b) A chinese cooking class ran by a well known cookbook author (Patsy), her class is in Paramount Garden Section 20/7.
If you happen to go to Langkawi, there is one in Lighthouse Restaurant, that offers authentic Malay cooking class.