I now nothing about the Club but I am fairly familiar with the Marble Arch area.
Marble Arch has traditionally been the "low" rent end of Oxford Street, based on the storefronts. The area near the Arch where the underpasses cross Oxford Street and the buses go around has in recent years been a tent city for Roma. The police would clear it out and a few days later it would be back.
I've not been through the area for a couple of years so perhaps things have changed - maybe somebody has newer information.
Turn left and you're in Mayfair. Cross the road and you are at Speakers Corner in Hyde Park. Plenty of Park Lane and Oxford Street buses, and a Central Line (only) tube station. If step free access is important to you be aware almost none of the Central Line stations are step free.
Because of the crowds of tourists and shoppers on Oxford Street, be alert and take good pickpocket precautions.