Take a copy of your I129 and LCA with you. Also, of course the approval notice. In addition, it has been recommended to take a letter from your employer that you continue to be employed there.
If you are not a national of the country you get your visa in, it might take a couple of days/weeks/months extra if they decide that they need to get a local background check on you. If you go to the consulate in your home country, they can just talk to their liasion with local law-enforcement to get that done. If you are in a different country, they have to cable this type of stuff back and forth. In general, I don't believe they issue the visa during the visit any more. I know in my home country they require a stamped envelope and a local mailing address.
Again, if your change of status has been approved, there is no need to go abroad for the sake of the stamp. Only if you are going abroad anyway, you need to go to the consulate in order to be eligible for re-entry.
