I've looked at splitting the tickets at Didcot like Spencer suggested but it still seems cheapest to buy tickets directly from Swindon to Prittlewell (the closest station to the ground).
As for times, I'd suggest:
Swindon to Prittlewell:
08:41 arriving at 11:48 or 09:11 arriving at 12:08
Prittlewell to Swindon
18:08 arriving at 21:02
Works out at £31.50 (but cheaper for me with my railcard
)