I travelled IOM-EDI-LHR last month and I'm doing the same next.
There is no connecting flight route at EDI so you have to go landside and pass through security again. No idea about GLA.
It is a very civilised way to get to LHR compared with bus to/from LGW or LTN, or tube from LCY, with free bar service on both legs and well priced if you book ahead.