If you have a contactless card, then that would be the easiest. There are big yellow readers on the gates at Marylebone station - just tap your card on that and the gate will open. At Marylebone, there are only four platforms, and they are all accessed by the same set of ticket barriers.

At Wembley Stadium station, others have said that there are not ticket barriers, so you should look to find a yellow reader to tap-out. You need to tap at the start and end of your journey. I'm sure someone familiar with the station would be able to give you an idea where the readers are at the station.