For anyone coming up from London, there are 2 convenient East Midlands trains you can get from St Pancras. A fast one leaving at 08.25, arriving 09.44, and a slightly slower one leaving 08.30, arriving 10.04.
Officially, the trains have 2 bookable bike spaces in a small compartment usually at the rear of the train. However you can fit at least 5 bikes in there (as seen the other week). So if you want to reserve a bike space, do it early. Please note the East Midlands web site won't let you do this on-line, so buy your tickets via another provider such as Southern or National Express East Anglia, which does let you reserve a bike space on-line, once you've reserved a seat. As mentioned above, currently First Class tickets can be had for the same price as Cattle Fare, and you can get a free tea or coffee from the buffet car.
A slight complication I ought to mention is that Loughborough has a short platform, and if the bikes are at the rear, you have to manoeuvre them up the aisle into the next carriage, as the doors on the last carriage remain locked.
They do give an announcement stating this as you arrive at Loughborough, to remind you, but it's probably best to make your way leisurely back to the bike compartment once the train pulls out of the previous stop at Leicester, as then it's 9 minutes to Loughborough.