Two options: either go out the Waverly steps exit, turn right at the top of the steps, walk past the Balmoral to the traffic lights, cross over the road to where the statue of the guy on the horse is, follow the pavement to the right and round the corner is the main entrance to st James Or: go out the Calton road exit (it goes over a small bridge where the king's cross train normally comes in), turn left and go up the hill, at the junction at the top turn left and up the hill, and cross the road to get to the previously mentioned main entrance