My understanding, drawn from a number of reliable sources, is that the Westminster Assembly first of all met in the Lady Chapel (built by Henry VII) in Westminster Abbey.
During the winter of 1643 they moved to the warmer surroundings of the Jerusalem Chamber, where they remained. Robert Baillie gives a first hand report: "The like of that Assemblie I did never see, and, as we hear say, the like was never in England, nor any where is shortlie lyke to be. They did sit in Henry the 7th's Chappell, in the place of the Convocation; but since the weather grew cold, they did go to Jerusalem chamber, a fair roome in the Abbey of Westminster, about the bounds of the College fore-hall, but wyder"
The Jerusalem Chamber is the setting for the historical painting depicting the Assembly, which while anachronistic in some respects is accurate in this. There is a useful review by Rowland Ward here. He concludes: "There is a certain artistic licence in that men who were not actual members are included, such as Baxter, Owen, Cromwell and Milton. nIt might seem strange that this picture of an Assembly dear to Presbyterians should have been conceived by an Independent who claimed too much for his party, be painted by a Roman Catholic convert, and represent that which Presbyterians of the time opposed as inimical to the reformation of the British church. But that’s how it is in God’s providence."
St. Margaret's was the location for the services held in connection with the Fast Days of the Westminster Assembly and the Fast Days appointed by the Long Parliament. It was here, rather than in the Houses of Parliament, that the Divines preached before the Parliamentarians. The King in His Beauty states that Rutherford preached before the Long Parliament and that the Westminster Assembly met in Westminster Abbey.