gah, I'm getting my knickers in a twist again here, sorry. There are three stations. Wembley Stadium is much the nearest but you get there from Marylebone mainline station which isn't that useful to you as it's some way from St Pancras. Wembley Park and Wembley Central are about the same distance as each other but in different directions. I'd still recommend...
JNO's suggesion Metropolitan line from Kings Cross St. Pancras to Wembley is by far the best idea and the route I have always taken. Only other thing I would add is that when there are big events at Wembley the trains get a bit full, so allow a bit of extra time or plan to arrive a little early, but this will apply to all transport heading there.