Fastest route from Grosvenor House:
Bus 2 (~10 minute ride) to Marylebone Station, then the Chiltern Railways train to Wembley Stadium station. This train takes 9 minutes, with no stops, and gets you closer to the stadium than Wembley Park station. Oyster cards are valid.
If you don't fancy the bus ride, a cab up to Marylebone won't cost much.