The advance purchase tickets are only available from London Waterloo or via Reading, it seems.

A Saver Return from Woking to Yeovil is £38.20. A return on the RailAir coach is £17.00. You can also get a through ticket from Heathrow (buy from the RailAir desk) for £54.40. The Saver ticket can be used on any train except those before 09:30 Mon-Fri, and can be bought as a walk-up ticket.

Megatrain is not an option if you don't go from Waterloo. Specific coaches are dedicated to this service, and if you join at Woking, you will have to pay full fare.