The pool lay long and slim before me, all calm colours and sharp angles, like a Hockney painting, and I dived in for an early-morning, jetlagged swim. As I emerged at the other end, the pool boy waited for me with a towel. He was friendly in that American way, wanting to know my name, where I was from, what I did.

He was going to college. "How long did you have to study?" he asked. When I told him that I was barely educated, he looked momentarily confused and said: "Well, you've done OK." I looked around, up at the gorgeous art deco façade of Miami's Soho Beach House, up to my room with its sweeping balcony and sea views, and then out over the palms towards the rising sun and thought: "Tomorrow I may be bankrupt, but for this week at least, maybe I have."

Miami and I were made for each other. The city, a proper American metropolis with little truck for the faux historics of Boston or San Francisco, suited the Formica part of my nature. But it did have its depths – I could slip out of the sublime if troubled Miami City Ballet and into Versailles, the most famous of the Cuban restaurants on "Calle Ocho". So it was the perfect place to escape a British winter. A simple flight took me into sunshine. With a week, a couple of extravagant days in the city followed by a more reasonable trip down to the Keys offered up that little bit of weirdness that America can provide so well and which would get you through to spring.

But luxury first. Soho Beach House is part of the Soho House chain, so has a joint role as hotel and private members' club. At first this was unsettling, because it operates a far more friendly, if less predictable, regime than your average accommodation. Also, it was easy to get lost. The block, just north of South Beach, was built to house condos. I kept opening doors to discover new treats: a wood-panelled spa, a rooftop pool and bar, or a restaurant I didn't know was there.

Then sitting at the bar I found myself having a conversation with an Oscar-winning cinematographer. And the Beach House gets into the spirit of Miami. Last weekend saw the city host Art Basel, the big, bling international art fair, with the club the venue for parties thrown by the likes of Jay Jopling and Phillips de Pury.

Then there is the beach itself. I wandered down and was met by Manny. "How close to the sea do you want to be?" he asked. "Do you want your lounger pointing towards the sea or the sun? Now this is your cooler. It has water and oranges in it, all complimentary. Now Eve here can get you anything else. A burger? Sure! A glass of rosé? Perfect." I knocked my (plastic) wine glass into the sand and Eve returned. "I see you've had a little incident," she said, like a kindly nurse. "Have another."

Obviously this was preposterous. Almost as preposterous as the South Beach babes and guys slumped all about me having conversations that were, frankly, insane. "Dude, I've been living in Colombia, trying to get this business going. And you know, Colombians love whisky. And I had found this great Burmese whisky – really, I'm telling you: awesome whisky. Made by a Scotch [sic] brewer [sic]. I was all set to import it into Colombia – I had a container ready to go – and then, well, it turns out the same people who run the Colombian whisky business run the Colombian powder business. I had this Colombian girlfriend. She said: 'You gonna die.'"

I understand this wouldn't suit everyone, but it suited me. After a couple of days I had the valet get the gold convertible I had hired and headed south.

After an hour I crossed Everglades marshland and pulled on to the bridge leading to Key Largo. Pretty soon each side of the ocean highway became a strip mall of boatyards, Circle K convenience stores, chandlers, bars, bait shops and diners. However odd you are, there is a place for you in the Keys.

With increasing regularity, bridges offered views of the sweep of the Atlantic on one side and the Gulf of Mexico on the other. I stopped in Islamorada for a night, turning down a side road and in Casa Morada finding a little slice of paradise – beautifully decked-out rooms giving on to a lagoon with a bar set up by crystal water and skiffs charging back from the fishing flats at sunset. Then the next morning I was down to Key West.

In one of the fishing shops I discovered a video from the 1970s about the great writers Jim Harrison and Tom McGuane in the Keys. It opened with the Conch Tour Train beginning its half-hourly trip hauling tourists around the island's two-by-four miles of wooden houses constructed by shipbuilders. Over the images one of the writers was saying: "Once you are in Key West there is that sense of being outside the law – you are at the end of America, you're in the Tropics."

I put up at the Cypress House, a large wooden bed and breakfast in the centre of the historic district, run by Dave Taylor. (The real rulers were actually two Schipperke dogs, Ben and Phoebe, who hosted complimentary sunset drinks with a finger buffet). Dave recently raised, much through the generosity of the guests, tens of thousands of dollars for those living with Aids in the Keys, for which he was crowned King of Key West. He had a knuckleduster ring to prove it. Cypress House was as brilliant and wonderful as Dave's diamanté crown brooch.

It had been 20 years since I was in Key West, and in that time the cruise liners had arrived in numbers. This changed the nature of the centre. Now the main drag – Duval Street – is lined with shops selling T-shirts with slogans such as "FBI – Female Body Inspector" and "Who needs big tits?" But the edginess is still there: the lesbian shops fight back, offering T-shirts attacking the religious right.

The permanent population, furiously independent (they once declared a republic, with the slogan "We seceded where others failed"), preserve their strange and wonderful sense of the community. It was wandering through the streets at 6am on my way to Sandy's, a famous Cuban coffee shop and laundrette, that it was most clearly on view. Roosters strutted about the streets, crying up the dawn. A few early-morning souls sat on their verandas and greeted me warmly as I passed by.

Ultimately the Keys are all about the sea. To get on the water, I hired Captain Dexter Simmons to take me on his skiff. We motored out through the harbour as the sky cleared and the first heat of the sun arrived. A woman emerged from a yacht in a bikini and stretched, waving as we cut our way past, all three of us grinning in the frisson of the moment. Islands emerged and then disappeared, propped up on their mangrove roots, and we crossed channels where tarpon rolled.

Eventually we arrived at the Marquesas, a circle of islands out of sight of any other person. The rotten hull of a boat Cubans had used to escape Castro was the only reminder of our impact. Here Dexter turned off the engine and began to punt us through the shallows. I stood on the bow gazing into the clear water, searching for fish: permit, bonefish, rays, shark, barracudas… The sun beat down. Right then our winter seemed very, very far away.

Essentials

Soho Beach House has rooms from $495 (sohobeachhouse.com). Casa Morada has rooms from $229 (casamorada.com). Cypress House has rooms from $175 (cypresshousekw.com). Virgin Atlantic (0844 2092 770) flies daily from Heathrow to Miami from £573 return. Prices for seven-day car hire start from £100 (carrentals.co.uk). For more information, go to fla-keys.co.uk