I don't live too far from there. From what I've seen of other cup days, you won't find it hard to latch onto fellow fans in the area.
As mentioned there is the Globe opposite the Baker Street station, but it will be packed. There is another smaller pub also called the Globe on Lisson Grove (next to Marylebone station). This is also likely to be rammed full, despite its higher prices (specialises in craft ales). A couple of pubs worth seeking out if you want the chance of a seat are the Thornbury Castle and the Chapel (does tend to open up late though). Still suspect they'll be busy on the day. There is a pub on Balcombe Street (between Marylebone and Baker Street) that is good, but it tends to have restricted entry on cup days. Also a couple of places in Marylebone station itself, but always a heavy police presence on such occasions.
You may already know this, but it's a lot quicker going to Wembley with the train from Marylebone (10 minutes) than taking the tube, you just have to watch the frequency timings.