Thank you, Trav+!
The only question remaining is: has West Hampstead Thameslink a separate National Rail booking office or not? People wrote on this thread that not every station has one.
I have two options on arrival. First option: ride tube to West Hampstead (2,40 GBP by Oyster), then two stops by bus (1,20 GBP by Oyster), and buy weekly Travelcard next morning from West Hampstead Thameslink (because its ticket office is closed at evenings, as National Rail website says). Second option: ride Heathrow Connect (7,90 GBP) to Paddington, buy Travelcard there (as of National Rail website, ticket offices work 24h), and proceed to West Hampstead using Travelcard. It is bit expensive but faster, however I wonder if there are queues at Paddington ticket offices late in the evening?