Terpe,
From what I read, once you have exercised your treaty rights in EU state, you don't really need to apply EEA family permit in advance, you can just book a flight/ferry or whatever and head to UK with your wife from the EU country where you've been excercising your treaty rights armed only with your passports, marriage certificate and payslips + prove of adress in EU state and also make it known to immigration officer at UK immigration control by quoting the EU directive of free movement you're exercising. They have no choice but to let you and your wife thru or else they face the wrath of EU in Brussels with fines etc..
I have heard cases where the British government have been given a hefty fine by the EU for refusing to let couples who have exercised their treaty rights thru at UK immigration control.