Renting car at Heathrow - returning in the Cotswolds?

I'll be arriving in London is Sept. and want to rent a car at Heathrow, drive to the Cotswolds, spend a few days, return the car in Moreton-in-Marsh and take the train in to London rather than drive there.

Has anyone done this? What car rental agency did you use? I realize it may cost more but I'm worried about driving in to London. Thanks.