hey Herjeet,
I'm planning on doing the same! I haven't done it yet, but researched quite a lot about it, and I am planning to do it.
Same case as you - going through London, coming from visa-exempt, and already approved as a sponsor. I'm moving beginning of October.
There is a chance that your PR ( or your wife's ) will be issued by then already, as London average is 7 months, but quite a few people get it in 2 to 3 months. depending on when you are planning to move of course.
There are quite a few people from visa exempt that move to Canada and wait out the rest of their PR there, so it should not be a problem. AS your wife is british, they won't actually ask for your passport, they will ask for copies of it, and they will send you by mail the COPR. It can be mailed to your address in Canada if you have moved already there. you can update your address to the London website, and you have enough time to do it.... so should be all good.
Main inconvenient is that your wife won't be covered by health insurance, and won't be able to work, but then again - if yo have kids and settling in, that might be an advantage!
once approved, you can either exit the border ( if you live close to the US for example) or go to the nearest international airport, and "land" there - complete the landings procedure that makes your wife an official PR. from what I have read, it is a rather easy and straightforward ( about 20 min procedure for most people).
I think it's worth doing it!

but maybe that 's because I have chosen that. The main advantage for me is that like this I will have time to settle in, find a place to stay, get used to living in Canada - and once the COPR is issued, then I can start right away! and I also don't have to wait for CIC to book tickets and plan my life, because as I will enter as a tourist, I can start booking etc. So in that way it's easier than wiating to have the COPR and once it's finally there, having to organise everything, moving etc. For you with children it might allow them to start school in september in Canada already since they have a canadian passport.
I thought quite a lot about it and could not see any real disadvantage - apart from healthcare and not working - to wait out my PR there.
Hope it's helpful!
Good luck with the decision - you're a few weeks ahead of me, so I suppose that approvals for COPR should come rather close to each others...
Best,
Sweden