You can go to Mexico if you were never out of status. You can use the following to prove your status. Degree transcripts, EAD card, I-797, etc. If you cannot prove that you were in status or were actually out of status, you need to go to your home country.

If you are changing from any non F1( i.e B1, H4, J1) to H1 status, you need to contact an attorney or some other reliable sources for getting the exact information.

All the candidates need to get an appointment online or by calling the 1-888-840-0032 number. It is advisable to make the appointment online as it may be cheaper if you are investigating the availability of appointments in various consulates. If you use the phone system they bill you for each minute you spend on the phone call. Make appointment at least 2 months before the actual interview date as it will give you ample time to get vacation approved from your employer and getting lowest fare for your air tickets to El Paso(If you plan to fly).

• Original I-94.
• Original I-20 from all schools attended
• Original EAD card(practical training document)
• Original degree certificates(if not available, get a letter from your school stating a valid reason)
• Original transcripts
• Employer certified copy of LCA.
• Employer certified copy of I-129 with cover letter that was submitted to INS for getting H-1B visa.
• Original I-797 approval form(H1 visa approval, Notice of Action)
• Original letter of employment verifying your salary, position, employment dates and duties.
• Previous pay stubs
• Tax returns and W-2 forms for all the years while your were in US.

There are many ways you can get to Mexico and attend the interview. If you are not from El Paso or don't know Spanish fluently, then hire Victor Garcia for help. He will take care of every thing that includes getting Mexico permit, getting the bank draft for attending the interview, assist you in crossing border from El Paso to Juarez and giving a ride back from Juarez to El Paso. He will charge you some fee for his services. If you plan to hire Victor Garcia, you have no option of staying in a hotel of your choice other than Econo Lodge near the airport. It is pretty cheap and most of the candidates stay in that hotel as Victor gives you a ride from the hotel early in the morning. Visit Victor's web site to get full information about the things you need to do for attending the interview.
(Disclaimer: We have no personal affiliation with Victor Garcia and this is just out of some one's personal experience.)

If you plan not to hire Victor you may need to do some extra work. You have to get Mexico permit by your self and go to Mexico the day before the appointment to get the bank draft from a bank near the consulate. You can't get Mexico permit or bank draft on weekends and so have to plan your appointment accordingly. If you don't plan to rent a car, there are many taxi cabs that can take you to Mexico. The fee for Mexico permit should be less than US $100.00 and may change from time to time. Please check with a reliable source regarding the fee. There is no need to take Mexican currency as US dollars are accepted every where. In fact most of the establishments publish their prices in US dollars.