Hello Raxx,
If you are on H1B and are planning to go to the US consulate in Mexico for a visa you must take the following:
1. your H1B document along with a letter from you company stating that you are currently being employed by them.
2. all of your I-20 (from all the colleges)
3. your OPT card and OPT I-20
4. your diploma/degree
All of these documents may not me required during the interview process but who knows the US consular might ask you for anything, so you need to be prepared with every thing.
From what I have heard, if you're currently working with a company and do not have semester breaks when you were a student, then there is a very good chance that you will get the visa. However, if you don't get the visa for any reasons, you will have to go back to Nepal and come with a new visa. (This is from what I have heard although I am not sure about the current rules) Unline F1 students who used to allowed to reenter the US even though they did not get the visa, H1B holders are not allowed to re-enter the US without the visa.
Please check with an immigration attorney for an accurate answer; don't fully believe on company attorneys as they are not immigration attorneys and may not have a full knowledge and wide experience on the matter.
You can get a Mexican visa at the entry point. For the nearest US consulate in Mexico, check online. You can either drive there or fly, whichever is convenient to you.
All the best to you!!!
