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 taking the Metropolitan line straight from Kings Cross St P. It's an expressish train so only five stops, 20 minutes or so on the train.
Euston mainline station to Wembley Central is only about 10 minutes by rail but Euston is a good 5-10 minute walk from St P in the London weather, so no real gain, and I
think (could be wrong) the service is only half-hourly.
Proper explanations here
http://www.wembleystadium.com/TheStadium/StadiumGuide/DisabledAccess/GettingToWembley