Since you already have visa till May 2008 you don't have to stop by the embassy in ktm but you might face problem in port of entry here. They might harass you at the port of entry as you are no longer student after your OPT starts. You never know what kinda questions they will as you there. 
They might give give you d/s stamp they give to student visa holder or they might give you just 3 months stay order (since you are on OPT) or for duration of your visa ( until may 2008).

I would suggest you to get an I-20 for grad school (or at least an offer letter) after getting your OPT card but before going to nepal. Thay way, you can explain at the port of entry that you went to nepal for a short trip before starting your grad studies (if asked).