As long as you are not travelling peak-time (ie before 9.30am) it's about £16 each for a return ticket which includes any Tube or bus travel in London (ask for a Travelcard when you get to the counter).
This is your best bet because it gives you the option of going somewhere else in London before or after the gig (and because the train and Tube ticket bought separately would be about the same cost, give or take about 50p
Luton is your best option because King's Cross is so close to Camden (at a stretch it's walking distance in a late-night emergency!) but if you do choose Luton, get one of the complimentary buses down to Luton Parkway station, rather than getting a taxi (v expensive airport surcharge) into the town centre rail station.