I understand there is a Sadiq Khan approved cycle link planned between Wembley and Willesden covering a length of about 5km.
The great problem with all these schemes is getting across the North Circular Road. I guess the most likely crossing point is some sort of bridge over the IKEA junction. This is such a difficult point in road safety and air quality that I would have thought that if the London Mayor wants to tackle it, he should maybe try all these problems at once and get it over with in one go.
Incidentally, it also a major problem for the 206 bus running between Wembley Park and Harlesden.