The quickest way (or easiest way) is train to LB then the Jubilee line (with a potential switch to the Metro Line at Finchley Rd) to Wembley Park station. A nicer way (only slightly slower) is to make your way to Marylebone and get the fast train to Wembley Stadium station. It drops you closer to the stadium, and you miss all the craziness at the tube station.