Yes, but that's a HORRIBLE change. Out of one station, across the road, and into the other station. (And the road is particularly busy at the moment with all the traffic diverted from the flyover.) If you're going to do it with one change, far better to do it at Earl's Court or Gloucester Road.

HEx and a cab from Paddington is definitely the quickest way, but that's pretty expensive. And Heathrow Connect is infrequent enough to make it potentially slower than the tube, especially if you just miss one.