Get the Metropolitan Railway all the way to Wembley Park. There are direct trains or you can change at Baker Street.
It's the same fare to Wembley Stadium, and the walk is shorter, but the trains are less frequent.
PAYG fares are £3.90 peak (M-F 0630-0930 & 1600-1900) or £2.80 at all other times.
(as for the Baker St to Marylebone transfer, if you want to go for that, there isn't a lot in it, but if you arrive on the Met platforms, it's almost certainly going to be quicker to exit around the middle of the train and go down to the tube one stop, especially if you walk up/down escalators. On the other hand if you arrive on the H&C/Circle platforms, it'll probably be quicker to walk to Marylebone at street level and not bother with the tube).