There is a street called Teodoro Sampaio, it is close to the Clínicas subway station. I think your best bet is to look around there. It is known as the music street here. Well, and furniture too, but I don't think you're interested in that
Another place you could look for music shops is on a street called Santa Ifigênia, but in general they prefer to have the cheap stuff... And lots of computer stuff. It is more focused on the computer stuff, by the way.
Depending on the time you have available, you may want to visit N.Zaganin. I never went there, but it is one of the most famous small brands here. You may want to take a look at their website:
N.Zaganin - Custom Guitars
Unfortunately, they're not close to the streets I mentioned above.
And depending on when you're coming, we are going to have an "Expomusic" this weekend, so that may be an option too, even though they don't sell anything there, it is nice to take a look at all the brands offering.