More important than where you change trains is getting the best fare. The walk-up open fare, good on all trains all day, is £70. Booked online today through www.the trainline.com, you can get a £20 fare for the Gatwick-King's Cross Thameslink-walk to St. Pancras-Nottingham route, but it is only good for the time you specify. Your choices are 08:45 and 09:45. If you go for the discount fare, play it safe and book the 09:45 departure. You have to register on the site before you can book tickets. If only UK addresses are accepted when registering, enter the address of any London hotel. Then, when it comes time to pay, change the address so it matches the one associated with your credit card.