This is very true.
If you plan well, you can get to and from London not-too-expensively. It's £10-15 for a coach ride from Glasgow to London, I'm sure if you forgo the train as your "main" transport you might be able to find something a bit cheaper. :3 Get a reasonable hostel for the overnight. Don't buy any food while you're there - make your own and take it with you.
This'll leave the most expensive thing as the ticket to the show. Which will always be the case.