Southwest Trains offer cheap day returns, ( sometimes) which have to be bought by midnight the day before travel.
however, my nearest station doesn't have ticket machines, so I have to drive to another station to collect the ticket, and then board at my local station.
If you buy tickets ahead of time, the rules require them to be in your possession before you commence your journey. Order sufficient time in advance, and you can have them posted to you. Otherwise, collect them during a previous train journey or (yes) make a special trip.
Them's the rules, but at times discression / can prevail. If you're making a short local hop and changing to a main line train, it's likely discression would be shown if you had a printout of your order - travelling (for example) from Dean to Waterloo with a change at Salisbury. But you cannot (and really should not) rely on that.