I was living in Sherborne for 6 months and went to the Edge near Wimborne
http://www.ukclimbing.com/listings/info.php?id=629&t=wall as this was the nearest one. The bouldering is very 'compact', shall we say as the boudering cave is not more than 7 foot high, the 45 degree board it perhap 10 foot long so it is a bit limited. It is better than nothing but rather dated.
I think there may be other facilities in the area, the UK database has a few but most are red herrings in my experience. I'm sure the locals will enlighten you if there are any private boards, they are all friendly. Most people tend in my experience just to go outdoor climbing in Portland and Swanage all year round as this is one of the benefits of living in the south, its not stupidly cold in the winter. Not many board heads in this area unfortunately! Good luck
