Heh

I agree, I wouldn't bother going into London, but instead would use the RailAir link to Woking. However, see below...

You can, occasionally, make it more quickly to Yeovil Pen Mill via Reading, but you do have to change, and you're going to save 10 minutes max, so it's barely worth it.

Yeovil is on one of those routes where the walk-up fares are quite expensive, but where you can get extremely cheap (from £1) fares from Megatrain. HOWEVER... The Megatrain fares are, irritatingly, only valid from London. You can't get into Woking station with an ex-Waterloo Megatrain ticket.

South West Trains do also have non-Megatrain Advance tickets available, which are a fair bit cheaper than the Open/Saver tickets, and available from Woking. As always, Advance tickets are available between 12 weeks and 1 day before travel.

Final option is, if you're in the rush hour and want to avoid buses at all costs, you could do the Heathrow Express (or Connect) to Paddington, a First Great Western train to Westbury, then another to Yeovil Pen Mill. I suspect the Woking route is going to be far easier.