Fastest and cheapest (not safest):
Follow the bus signs in Don Muang and take bus A1 (30 baht, 15-30 minutes) to Mochit Bus Station (it's the last stop, do not get off at Mochit BTS). Walk into the station and right in front of you there will be a ticket booth for "Central Thailand". Ask for a ticket to Hua Hin (minibus, 180 baht, 2.5-3.5 hours) and wait to be called.
If you're feeling confident, go through the station and out to the parking area and find the Hua Hin bound minibus yourself (AFAIR, it's parked on the left at the 4th or 5th row in), this will allow you to get better seats but the price will remain the same.
Both the train and VIP bus are safer, but more expensive and much slower.