You don't have to go to US embassy in Nepal. However, carry all of your previous H1 documents, employment letter (if possible), and your most current pay stubs (I would say at least 2). When you come back, you need to go through the secondary immigration check point in addition to the regular one. Be prepared to answer any immigration/employment related questions asked at secondary immigration check point. It took us almost an hour to go through all the paperworks. I think they verify your information and update your information as a parolee.

 

Don't worry too much and enjoy your visit. It should be a smooth process.

 

Hope that helped!