Yes, the embankment has fewer lights so if you are riding later, that is the best route.
Regents is fine if you ride early but the lights stink. It gets old in a hurry. Richmond, the car gates don't open until 6:30 a.m. but the ped gates are open 24/7.
If you are Marylebone proper, I'd cross over into Hydepark, ride the bike path to exhibition road and take fulham road out to Putney Bridge.
If you had asked a day earlier, I'd sent you to Assos because on the 17th they were doing a track taster session at Herne Hill Velodrome.
(The Assos shop always seems to schedule the fun stuff when I am away in the states, I am not sure its a coincidence. )
You might want to do a Dulwich Paragon introductory ride for the club. They meet at Herne Hill once a month. Huge club, A, b , c groups head out at all different speeds. Its a nice ride for getting out on the narrow one way lanes in the countryside if you aren't use to riding such roads. Super club in my opinion