If your I-797 has an I-94 attached, you are in status. Border doesn't stamp anything,m Consulate does, and Cdbs do not go to Consulate for visas for TN.
If there is no I-94 attached, then you need to go to border to activate the TN (by getting an I-94, not for stamping).
As to your wife filing I-140 and I-485, why not? You can file I-485 at the same time she does -- it will mean statying in US however. As soon as you get your EAD and AP, you can drop TN altogether and are free to travel.