Changing the status is not a big deal.

You can apply to USCIS with your admission certificate+ documents showing that u r in status till now in the eye of immigration and it will take about 2-6 months to get approved.

I did not understand why u were asking about getting F1 from US embassy in Nepal as it is USCIS office in US (mostly laguna Niguel office in California) that approves youe change of status and as long as u r in US u don't need to stamp your Passport.

In case of going to Nepal after u have started school there should be no problem bacause u being a H4 means you have someone in your immediate family (supposedly husband) who is H1 so u can show the income source to fund your education. So not a big deal.

Regarding SSN u need to find an on-campus job not only admission. Hope u know that already.

Good Luck.