Personally I'd get off at Thurso as it's another 30 minutes on to Wick (on the train) from there and also it doesn't mean you are doubling back on yourself, i.e. Thurso, JOG, Wick rather than Wick, JOG, Wick. Nothing in it in terms of gradient etc, as it is all pretty flat aroung there (unless you go on to Dunnet head or Duncansby Heads). Just a personal thing as I hate riding the same road twice if I can avoid it!
Penzance is 10 miles from Lands End.
As mentioned above, do make sure you are booked on trains at these stations. If you turn up and hope to get on, you probably won't!!!!!