Maderia has a pleasant climate which doesn't change much throughout the year.

My parents are there now and its mid to high 20s with some cloud. It won't be much different in September. I'd pack for warm summer days, but be prepared for cloud and cooler temperatures if you go to the mountains.

Which hotel will you be staying in? The weather changes depending where on the island you are. the south west bit, well west of Funchal known as the Hotel Zone generally has the best weather. The west, and north can get a bit breezy and wet with the prevailing wind at this time of the year coming from the NW to N. Take a light raincoat as you can get occasional tropical storms now and again! However even these can be warm this time of the year! Funchal today has been 23 degrees.

We are staying at the Tivoli Ocean park. Funchal.

Tivoli Ocean park

Im sure you have hotel details but here are some more. Its in the Hotel Zone which gets the best weather. Plenty of buses going into Funchal centre but taxis are cheap. 5 - 7 euros. However the hotel has a FREE bus service to the center and back; the last one back to the hotel leaves Funchal, I believe, at 6pm. I'm sure you will enjoy, Madeira. I worked there and still go back for vacations! The traditional Madeirense restaurants are down in the Zona Velha (Old Town) on Rua de Santa Maria, beside the bus station and not far from the cable car terminal. There are taxi ranks there so getting back to the hotel will be no problem.
Not far from your hotel is the new Madeira Shopping Center. There is a very good Brasil Churrascaria, (Meat restaurant). Here the waiters will continue putting meat on your plate, (a good selection of different meats) until you tell them to stop; and all this for a fixed price. There is also a salad with it. My wife has just told me not to tell you too much as you may want to come back and we try to keep this gem of an island secret!
I'd be happy to answer anything further.
http://www.madeira-portugal.com/tivoli-ocean-park/location.html
http://www.asiarooms.com/portugal/madeira/tivoli_ocean_park-hotel.html

Thank you for the info.
I found it all very interesting.

Now is there anything we should avoid in Madeira.

Now is there anything we should avoid in Madeira

Cant think of anything really! Bear in mind that it is mountainous. Day trips are very worth while but dont book them with the travel rep. There are lots of travel kiosks in Funchal where you get far better deals. Give the Nuns Valley a miss...theres nothing there! The restataunts down by the marina are rip-offs also. Most shops are the "boutique" type not the deparments sort you get in the UK.
Take a trip in the cable car but take a camera..well worth it.
If you get the chance to have an evening out at the Montanha Churrascaria overlooking Funchal, take it. Apart from the food which is OK you will also get Fardo music and Madeirense folk dancing. Madeira used to be a penal colony and early planters used white slaves. The dancing reflects this historical event when the slaves were not allowed to lift their heads in the presence of the master; Hence you will see many dances where the dancers are looking down at the floor!
I'd better stop now as I'm hogging the thread!
But Im sure you will enjoy your stay.
Oh yes one final thing: waiters get about 2.5 euros per hour, wages are very poor in Portugal, so they really do rely on tips.

"Give the Nuns Valley a miss...theres nothing there"

Disagree completely. We visited there and really enjoyed it. It's a bit like saying don't go up the mountain because there is nothing there - the journey is as enjoyable as the arrival.

Agree there is not much to do, it is only a small village, but the views on the approach are breathtaking and the apple pie we had in the local bar was stunning!!

but the views on the approach are breathtaking

You must have gone there when there was no mist! And as you say, there is not much to do there, even though there are actually 2 destinations for Nuns Valley.