Walk from South Audley Street south to Curzon Street and turn left. Just past the main entrace to Leconfield House, turn left into Chesterfield Gardens and stop to listen. The walk then continues along Curzon Street to the cinema, turning right into the side street leading to Shepherd Market.

I mention my Guy Burgess and Cambridge Five episode which you can hear here: https://player.captivate.fm/episode/413f67bd-e066-49d4-9394-cd3ed852ff13

You can follow the route on Google Maps: https://goo.gl/maps/v1h9gLVbZjViW38G8