It's not well signed... Have you been to T3 for arrivals before?

In any case, there is only 1 way to exit customs/baggage in T3. As you exit into the arrivals hall, keep walking straight and head towards Heathrow Express. You'll see a ramp leading down towards Heathrow Express. Stay to the right of this ramp (don't go down it) and keep walking straight. Ahead on the right you'll see a Boots drugstore, and across from that some elevators. Take the elevators up 1 level, and make a right as you exit. The lounge is right there.