Great news, Heathrow Airport has finally caught up with the late 20th century, and started supporting train ticket collection! (You used to have to argue with them, board a train to London with only the booking confirmation email, argue with the conductor, then collect tickets in Paddington) For T2/T3, head into the station past the roving ticket sellers, walk to the purple Heathrow Express ticket machines, then almost behind you tucked away on the other wall are 4 other ticket machines. Two are collection only ones, which ask for a credit card (Nectar cards often work too...), then prompt for the booking reference and finally print tickets. I think the other two might be full ticket machines, but I didn't have time to check. I gather there's something similar in T5 as well, it'd be great if someone could snap some photos next time they're there, assuming they're not in a hurry as I was today!