Go to any tube station and ask the staff there. All 3 stations you mention have a tube station in the vicinity but are in a separate location to the Thameslink station. At West Hampstead, turn right out the Thameslink station, past the Mildmay line station and cross the road to the Jubilee line station. At St Pancras turn right after the barriers exit St Oancras and cross the road to Kings Cross St Pancras tube station. At Blackfriars exit at the north end of the station and follow the corridors to the tube station