H1 issuance
The first time you get an H1 stamp in your passport, you have to leave the country. Earlier you could go to Mexico/Canada and if the visa was rejected, you could come back. After 9/11, if your visa isn't issued then you have you leave Mexico/Canada directly and go back to your home country. I suggest just getting the visa issued the next time you go home or the next time you go abroad. H1s are generally easy to get stamped as there is no real ground for refusal if you have an approval notice. Three years after you're first in H1 status, you will need a new H1. At that time, with an H1 already in your passport, you can just send the passport into the State Department in St.Louis and they will issue your visa from "DEPARTMENT".
Good luck