Thanks so much for all of the extremely helpful replies (and the welcomes). These responses are wonderful - it would probably have taken me months to find out all of this myself.
It's looking like the best option may be to use the Abergavenny-Newport-Paddington route, using advance tickets where possible, and splitting the journey as suggested when advance tickets are not available. Thanks for that tip - I had no idea that journeys can be made significantly less expensive by being split up.
I'm aware that the Worcester/Cotswold route is lengthy and slower, so I'll probably save that one for sightseeing trips. Driving to Bristol Parkway could also be an option (will check ticket prices), but the downside would be that I would be at the mercy of the M4 and the Severn Crossing (not to mention parking at the station itself).
Thanks again for the really helpful tips,
Craig