There is limited parking at Our Lady's, and the car park is almost always full, so it is best if possible to come by public transport.
Our Lady's Church is roughly 15 minutes' walk from several underground stations: Marylebone (Bakerloo Line), Warwick Avenue (Bakerloo Line), St John's Wood (Jubilee Line), Baker Street (Metropolitan, Circle, Hammersmith & City, Bakerloo and Jubilee Lines) and both Edgware Road stations (District and Circle Lines / Bakerloo Line).
Bus routes 139 and 189 stop very close to the church - directly opposite when travelling northbound towards West Hampstead or Brent Cross. If you are coming from central London listen for the St John's Wood Road stop - don't get off at Frampton Street, the stop before, as the TfL Journey Planner suggests you do.
Other buses passing not too far away include the 13, 82, 113, and 274, which stop at the other end of Lodge Road, and 6, 16, 46, 98, 187, 332 and 414, which stop on Maida Vale or Clifton Road.
You might also find these maps of the area useful