Passport stamping in H1 B to travel outside of the continental US

[thePassionate]

Hello folks, I was wondering if some one can help me out here. I got my H1 B visa about 5 months ago and have been working since then. I got my pay stubs and just recieved a W2 as well. The question for all you guys is that should I go to the US counsalte in Canada or Mexico to get my passport stamped so that I can travel to my home country. The thing is I first came to the US in 1997 as B1 (visitor's visa) with my family and then decided to go to school here. So after 6 years in F1, now in Oct 2005 i got my H1. Some one has told me that I can't go to Mexico and get the passport stamped since I wasn't here in F1 (but instead first came here on a visit visa), is that correct?? Secondly, if any one of you guys have been to the US Consulate, can some one please tell me the procedure and what documents to take exactly?? Thanks a lot for the help in advance.