For major events at Wembley, Chiltern operates a queuing system at Wembley Stadium station and has different queues for various flows on its network to the north and west, plus a queue for the shuttle back to London Marylebone. You will be put on the first available service, and may have to wait some time in the queue.

Unless the journey to Wembley actually starts at Marylebone itself, I would say it’s better to take the tube to and from Wembley Park.

For a (first time) visitor to Wembley, it’s part of the experience to approach the stadium by walking up Wembley Way from the tube station.