So what exactly does a billionheir do all day? “Wake up, then . . .” Prince Azim of Brunei, 25, fiddles with an enormous turqoise cocktail ring (real, but he’s not sure exactly what stone it is). “Sometimes, I stay in bed all day and watch DVDs. Sometimes I write songs – lyrics. My friend has a studio, so I’ll go to see him and put songs down, with him at the keyboard. That’s my creative process,” he sighs, “but I don’t think I’ll ever release anything.”

A pint-sized, diamond-covered Furby with a shock of black hair and dancing features, Prince Azim probably need not worry about his recording career any time soon. As the second son of the Sultan of Brunei, he is set to inherit a slice of his father’s whopping £25 billion oil fortune, so life will never be any more taxing than the odd dinner at Nobu and nights at “Mahiki!” he squeals in his high-pitched, MTV voice. “I think I’m addicted. It’s all the cheesy music they play.”

Along with the Rausings, the Mittals and the Abramoviches, Prince Azim occupies a level above the plain old superrich. For him, life is a boggling whirl of superyachts, private 747s, massive rocks and security – a world far beyond anything the Beckhams could dream of. “My dad once gave me a solid-gold and diamond GameBoy,” he says. “I was like, this is too heavy, I want a normal one.” His three bodyguards are a constant shadow on the party circuit. “You just accept things,” he shrugs.

And yet, he insists, he’s no materialist – his most treasured possessions are “my pictures”, he says solemnly. He picks up a photograph, one of countless celebrity snaps that line the dining room of his mother’s vast house – sorry, terrace of houses – in Kensington. “Leonardo [DiCaprio]. I met him at the Baftas a couple of years ago. We talked about some green charity. Orlando Bloom,” he points to another, “I met at the premiere of Kingdom of Heaven. And Johnny Depp was at the Dorchester.” (Azim’s father owns the hotel, along with the Plaza Athénée in Paris, the Beverly Hills Hotel in LA and, oh, yes, 531 Mercs.) “He was very nice. I [also] met him at Cipriani,” he says. Here’s another, in a black suit, on a polo field, with a bemused Prince Charles and sons William and Harry. “The princes – very, very nice,” he says. “They were playing polo somewhere and someone introduced us.” In the entrance hall, there is, rather spookily, a picture of Azim with Heath Ledger. “He was really, really nice.”

The prince is not afraid of showing his love of celebrities, either. He once sent a private jet to deliver a £3m diamond necklace and ring to Mariah Carey – “Some things are exaggerated,” he tweets. He hired his idol, Diana Ross, to sing at a party in 2004, and flew in Michael Jackson to another last year. Almost anyone, it seems, will do. He had a notorious escapade with Jade Goody. He was snapped leaving a club with the Big Brother foul-mouth, who was wearing, the tabloids claimed, a £30,000 ring he had given her. “She was a very nice person,” he says. “A wonderful person. I don’t judge people by what I read. I asked her if she needed a ride home, and she was with her boyfriend Jack, so we sent them home.”

Aside from the celebrity-chasing – “Madonna, if you’re reading, I want a picture!” – Azim fills his time with charity work, such as Fashion for Relief, organised by Naomi Campbell, which raised money for the Rotary Flood Disaster Appeal and which he supported by – what else? – appearing in a catwalk show. “[My first thought was] I’m too short,” he squeals. “Need I wear heels?” He found it “scary. You’ve got Claudia Schiffer and Kate Moss in the front row. I mean, I’ve met some of them before, but I don’t really hang out with them”. Afterwards, he says: “Kate was nice. She said, ‘Good work.’ I said, ‘Thank you very much. Can I have a picture?’ ” Fashion is another passion for the prince. In Versace jeans, a yellow T-shirt and a black waistcoat he designed himself – “only for myself, not a range” – his own taste is distinctive. “I like designers who are different: Galliano, Versace,” he says. “I don’t like following the trend. I do go shopping, but not all the time.”

In fact, the reason for our extraordinary invitation to Azim’s mansion is none other than a weekend bag he has designed for charity for the luggage giant MCM, which is relaunching in the UK next month. “It’s called the Prince Collection,” he coos.

Azim spends half the year in Brunei, in northwest Borneo. “It’s a place to relax,” he says. Educated in Singapore and at Oxford Brookes, Azim is part of a colourful family. His uncle, Prince Jefri, achieved fame in the 1980s for his flashy lifestyle, including a 180ft yacht called Tits, complete with tenders Nipple 1 and 2. He was sued for embezzlement by Azim’s father, but the brothers are now reconciled.

Azim himself has three full siblings and eight half-brothers and sisters through his father’s other two wives. “My father treats us all the same,” says Azim. “He’s a very intelligent and reserved man.” His mother, a former air stewardess, split up with his father six years ago – but not before adopting (keep up) 10 further children from all over the world. Azim cites his parents’ break-up as one of the worst times of his life. “You never want that to happen to anybody, but we made her laugh,” he says. “Why does anybody split up? Irreconcilable differences.”

As for his own romantic life, “I’m one of those unlucky-in-love people,” says Azim, who lays claim to two past girlfriends. Love at first sight “happened to me”, he confirms, “but she got married. I don’t think you should force it – everybody finds their someone”. Instead, he surrounds himself with a loyal core of protectors/friends/social secretaries such as Nash, a pretty little munchkin in a Juicy Couture tracksuit who escorts the Style crew to the Prince’s gold-encrusted home, where yet more hangers-on loll around, along with bodyguards and ancient Bruneian staff, who trot out a stream of cakes, chocolates and hot drinks. “My sisters Azima and Fadzilla – Godzilla with an F, ha, ha, ha! – are based over here, so I see them a lot,” he says. “Being alone is my biggest fear.” Unsurprisingly, he is wary of new people and being taken advantage of. “It comes with the territory,” he says. “I know a lot of people see me as a party person.”

Back home, he’s kept on a tighter leash – official engagements and no holidays, because “it’s a whole big deal with the High Commission, so sometimes you just don’t want the headache”, says the prince who, apart from travelling to the UK, has only ever been abroad twice. Poor Azim! For all his cartoonish behaviour, he is a rather lovable character, a sensitive soul who cries at films such as In Her Shoes, and who, in spite of the absurd things he does with it, seemingly appreciates his wealth.

“Yes, I’m spoilt! But I’m grateful to have what I have, and I like to share it,” he says. “My mother was good in making us realise that material things aren’t everything. If I had nothing tomorrow, I’d be able to live my life and still be happy and enjoy it, because I don’t need all this gold. I just need e-mail and Twinkie rolls.” But he wouldn’t quite be the same without it.

MCM opens on May 22 at 5 Sloane Street, SW1; 020 7235 3331

Times recommends

• It is possible to look stylish while pregnant
• Britain’s tot models
• Who and what benefits from the heat wave?