Morning All, we are staying in Watford as well, after speaking to other people who have stayed in Watford they have said get an Oyster card from the Post Office.
This allows you to travel all over london hassle free without the issue of queuing for tickets at the tube stations.
Tube Trains run every 10 - 20 minutes from watford to wembley journey time around 25 minutes max, put an initial paymnet on card about £10.00 this allows un limited useage on the underground plus the kids travel free on these cards.
by the way I have 3 boys so it work for me & is cheaper
cheers The Tinks