The place was the site of the meetings of a fashionable association termed the Pic-Nics, which organised events including burlettas, vaudevilles and ballets on a small scale.
In 1807, the Lord Chamberlain granted Greville an annual license to host music, dancing, burlettas, and dramatic performances at the Argyll Rooms.
William Taylor, the manager of the King's Theatre in Haymarket, described the first two seasons this way: "There was no Stage, beyond a small elevation for the Singers to stand upon, and … no more than four of these were employed in petit pices [sic] of one short Act merely introductory to assemblies and Balls, and … no Dancers were ever seen, confined alone to subscribers for only 12 nights the first year and but 8 the second and last experiment there, and … no money was even taken at the doors.
During his management one of the events there was a reading by Sarah Siddons, on 10 February 1813, of Shakespeare's Macbeth, for the benefit of the widow of Andrew Cherry, dramatist and actor.
Slade was awarded by a jury £23,000 as compensation (a sum considered high at the time), and the whole of the old building was removed and new rooms erected, on the east side of Regent Street at the north-west corner of Argyll Place.
This organisation occupied, for the purposes of its trade, the southwestern angle of the new building (at the corner of Regent Street and Argyll Place), circular with a domed roof.
The cost of the building, with other factors, soon led to the withdrawal of most of the original investors, at a loss of about £1800 each, and the place eventually fell into the hands of two of them, Thomas Welsh and William Hawes.
In 1829–1830 the rooms were tenanted by Ivan Chabert [de], calling himself "The Fire King," who entertained the public by entering a heated oven and cooking a steak in it, swallowing phosphorus, and so forth.
Where yon proud palace, Fashion's hallowed fane, Spreads wide her portals for the motley train, Behold the new Petronius of the day, Our arbiter of pleasure and of play!
There the hired eunuch, the Hesperian choir, The melting lute, the soft lascivious lyre, The song from Italy, the step from France, The midnight orgy, and the mazy dance, The smile of beauty, and the flush of wine, For fops, fools, gamesters, knaves, and Lords combine: Each to his humour—Comus all allows; Champaign, dice, music, or your neighbour's spouse.