Little Madam, Finborough Theatre, London

The prolific and talented James Graham, who is still only 25, wrote a thoughtful, if long-winded, play called Eden's Empire, which was produced last year at the admirable Finborough Theatre to mark the 50th anniversary of the Suez Crisis. He now turns his attention to Margaret Thatcher, the woman who determined to put Britain back on the map and rescue it from the ignominious lower-second-class standing to which it had slumped after this shameful episode.

But the methods Graham uses here are very different. Little Madam offers neither conventional biography nor history. Instead, it opts for a fanciful framework that often shows us the familiar from unexpected angles, even if, by the end of a long evening, you feel the idea has outstayed its welcome.

The conceit is that we meet Margaret Hilda Roberts, aged 12, in her Grantham bedroom on a night when she has been put in detention by her alderman father because she won't apologise for inexcusable rudeness to her older sister. For company, she has her old childhood toys – doll, teddy, puppets etc – who emerge from the chest and the outsized drawers in Alex Marker's endearing false-perspective design.

Margaret is a precocious prepubescent, perhaps the only one in captivity who could find the "smile" in Samuel Smiles. But she also has normal prepubescent desires, wishing, say, that she could buy an off-the-peg dress and go to a dance rather than make her own clothes, perform skivvy duties in the shop and self-improve all day.

In her games with the toys, the young Margaret is shown, by instalments, a preview of her future. Catherine Skinner, in a brilliant tour de force, quivers between Grantham and Saatchi-drilled posh, intransigent adolescent and intransigent adult, insecurities (in both eras) and dogmatic determination. Kate Wasserberg's fine production is cast to perfection, with the toys playing multiple roles. Ian Barritt is surely unique in having the opportunity to play Ted Heath and Teddy (alongside Saatchi, a striking miner, Al Haig and the Archbishop of Canterbury).

But there are times when it looks as though Graham intends to dramatise every episode from the life, and I can't be alone in offering private prayers along the lines of "Please God, not the Westland affair."

It is the awkward, purported correspondences that unsettle, and where the format of showing two stages of the Leaderene's existence simultaneously pays disturbing dividends. In denying Margaret her dinner in order to humanise her, was the alderman counterproductively guilty of putting the iron in her soul? Did he create the woman who refuses to listen to the sly questions and entreaties of Bobby Sands, the IRA hunger-striker, whose cell is seen through the window of her Grantham bedroom and who seems to see more similarities between the two of them than the fact that they are both yearning for food? Is such a parallel provocative or outrageous?

The lingering paraphernalia of childhood produces some indelibly horrible images. When Thatcher elects to sink the Belgrano here, she crumples a toy boat made out of newspaper and the effect is rather like that when, in Peter Brook's US, the horror of Vietnam was evoked by the burning of white, real-seeming (in fact paper) butterflies.

The loneliness of power – gained by keeping people at arm's length and lost on the same principle – comes through vividly as we trace the connection between past and present. There are also many delightful touches; I loved the way the blue tickling stick of Ken Dodd (a Tory supporter) became Margaret's feather-duster for show-cleaning in Number 10.

At a time when she has become a poster girl for Thatcher's children – er, sorry, New Labour – it is good to have our perceptions of the woman shaken up and to ponder on the extent to which, just as the child is father of the man, the child here is the mother of the lady who was not for turning.

To 27 October (0870 400 0838)