Hi,
Really nice part of the world. I used to live near Cirencester, but I've since moved to Germany. There are several clubs around and even a Cotswolds wargames show. I'm not sure how many clubs are still meeting regularly, but I have been, at one point in time or another to clubs in: South Cerney (I'm not sure it had a club name), Cirencester (Cirencester Wargames Club), Cheltenham (cannot remember the club name), Bath (Bath Wargamers) , Bristol (Lincombe Barn), and Frome (the Abbeywood Irregulars). I'm also aware there are gamers/clubs around the Swindon, Fairford area. But I never made it there.
The best bet to get in touch with people who organise the Cotswolds wargames show. They might be able to point you to the right people, that's assuming the right people don't find you first!
Best,
Ed