No NO
Don\'t need to go to the consulate. Those days are over . You are in AOS - nearly a PR.
All you have to do is bring a proof of reason for the travel(optional), your AP and passport to the airlines. Make enough copies of the AP in case there are hoppin thru different countries. Hand over the copies to the airlines rep whenever they ask for proof of status.
Fill out the white I94 form which they give out in the airlines or you can find one in most of the immigration counters. At the counter hand over the filled I94, Passport and AP to the INS officer. You might have to state who is the primary beneficiary of the AOS and is teh GC is employment based or family based. They might also check whether you had maintained valid status while you were in US (before)
Depending on the load, experience of the officer and Port of entry your documents will get stamped either by the officer or by a supervisor in a side office.
Make sure that the validity dates are consistent in all stamps (on AP copy with your photo, On passport and On I94).
If it is multiple entry you should get the AP back stamped.