Thanks for the reminder that Sandy pre 1813 is on FreeReg, John. I often overlook that, knowing that all Beds pre 1813 is on the IGI.
With only one baptism in Beds that fits, I'd have gone along with Lesley's idea that James was from Sandy, a mere 5 miles from Old Warden, (with the slight reservation as to why, having left Sandy at 19 and having lived in Old Warden and Southill all his adult life, he should have been buried back in Sandy), were it not for one awkward fact. The James who was buried in Southill in 1820 aged 77, for whom I can't find a baptism, is the fly in the ointment. Two baptisms and only one burial I can handle, but two burials and only one baptism sets off warning bells. Playing devil's advocate, until James in 1820 can be explained I'm questioning that the marriage in Old Warden was James from Sandy. In fact, I think it may have been/probably was the unbaptised James.
There, my neck is well and truly stuck out!
David