Helen Stoner arrived in London by Train.
When Holmes notes to Helen Stoner that she traveled by train, she is surprised. She asks him if he knew her, because she does not know how he could know how she got there.
“…I observe the second half of a return ticket in the palm of your left glove. You must have started early, and yet you had a good drive in a dog-cart, along heavy roads, before you reached the station.”
So therefore Helen Stoner did arrive early in the morning by train, but before that she took a dog-cart to get to the train station. He could tell it was a dog-cart from the mud spatter on her sleave, and of course he saw the train ticket in her glove.
Although Holmes does not think much of women, he is still an astute observer of human behavior. Some of his characterizations are a bit sexist, of course. One of the reasons he takes the case is because he is interested in knowing what would drive a lady out of her house and on such a treacherous trip so early in the morning to wake up a perfect stranger.
From reading the many Sherlock Holmes stories set in the country, we are familiar with the customary way of getting to rather remote places. Holmes and Watson frequently take a train to a rural station and then hire a horse-drawn conveyance, usually called a trap or a dog-cart, to the final destination. Helen Stoner has to take a dog-cart to get to Leatherhead, which is an important railroad station, and then ride to London, where presumably she would hire a horse-drawn cab to take her to Baker Street. She tells Holmes:
I suddenly heard in the silence of the night the low whistle which had been the herald of her own death. I sprang up and lit the lamp, but nothing was to be seen in the room. I was too shaken to go to bed again, however, so I dressed, and as soon as it was daylight I slipped down, got a dog-cart at the Crown Inn, which is opposite, and drove to Leatherhead, from whence I have come on this morning with the one object of seeing you and asking your advice.”
She would have to return to Stoke Moran by the same conveyances in reverse order. It would be easy enough for her stepfather to trace her movements because there would be many different people he could ask about her. He could find out she took a dog-cart from the Crown Inn to Leatherhead. He would assume she took the train to London. Then he could question cab drivers until he found the man who had taken her to 221B Baker Street. He might not know that it was Sherlock Holmes who lived at that address, but he could easily find out by asking a few questions in the neighborhood.