My recommendation would be to look for a set where the club is all one piece of plastic.
We bought my son his first set of plastic toddler clubs at a thrift store, but the head of the club and the grip were separate pieces from the "shaft" and, as you can imagine, in no time at all each club was just three pieces of plastic.
Sometime later we were at WalMart and saw a set there cheap enough that we said, "Why not?" These clubs are all one piece of plastic and much better. Now the challenge is just that my son swings a baseball bat like a golf club and a golf club like a baseball bat.
One step at a time, I guess.