I will be traveling with 4 Adults on Tuesday October 2nd from Munich to Heidelberg. Is is possible and/or recommended plan to Buy a Bayern ticket for travel from Munich to New Ulm then From New Ulm to Ulm then use a Baden Wurttemberg ticket for travel to Heidelberg.
If you're going to use the regional trains (the Bayern Ticket and B-W tickets are valid only on those) then you're better off with a "Quer Durchs Land" ticket (daypass, same idea, regional trains after 9 am weekdays but good across "Länder" boundaries) which will set you back 60€ total for 4. Buy it from a ticket machine in Munich just like you would the other tickets.