Train from Zurich to Wengen

There's no advantage in doing so. Simply purchase your tickets at the airport train station on the day of your journey. There will be plenty of seats available on the trains.

I would suggest that it's best not to purchase trains with a specific departure time from an airport. If your plane is late, you could miss your train. It's not fun getting your tickets changed. For this particular journey, you won't save anything by buying online. This is a 3hr10min train journey with 3-4 train changes. Train fare is 82.60Euro unless you have a Swiss pass or card which you can get at the train station if you wish. Try to get a run with 3 changes to avoid the additional train change. If not, you're OK. Once at Interlaken Ost, you'll love the ride into Lauterbrunnen and then up to Wengen on the Jungfraubahn train. For fun, here's a LINK to a picture of the Jungfraubahn train in the Lauterbrunnen station that you will be on to get to Wengen. Note the 3rd rail. This is a cog train.