I could be wrong on this, as rules might have changed now, so please check. I traveled to Europe while in OPT. As my re-entry visa stamp had expired, I had to acquire a new one to re-enter the US. I applied in London consulate and they provided it to me without much hassle. So, yes, you can travel during your OPT prior to H1B. If you are in the process of applying for GC, then it is a different story and you do need Advance Parole.