I also use my Nationwide account. As the previous poster put, i tend to get a better rate when i get home and check my bank statements. However as my dad is giving us some spends this year too we will have that in travellers cheques so i'll have a combination of the two.
The supermarket under the
ICR office will change travellers cheques no problem, my BIL took stirling travellers cheques last year and got the same rate at the people who were changing cash. After the first couple of times of changing the travellers cheque he didn't need his passport as the shop owner remembered him.