Saturdays appear to be 20 minute longer journeys than at any other time of week! It is possible to avoid going via Woking though by getting off at Ash Vale and walking up Lysons Avenue to North Camp - doesn't necessarily cut anything off the journey time mind you!
Yeah, their training ground is up at Cobham. You also see a lot of Chelsea tracksuits around Merrist Wood College, presumably to do with the education aspects of the Chelsea's academy.