There is no need to go into London and come again - and no need to get the over-priced Gatwick Express if you do.
The simplest way is to get a Southern train to Clapham Junction and a South Western one from there.
Alternatively Southern trains all the way changing at East Croydon and Selhurst
Or as tel b says, via Dorking Deepdene. Probably no more of a hassle than changing at Clapham Junction.
All take roughly the same time - the Clapham Junction route is slightly more expensive than the other 2 - �8 as against �6.50 single. ( The Gatwick Express is just short of �15 to Victoria and then you'd need to pay again to get to Epsom)