You need approval

for H1 status first. With that approval notice, you switch your F1 status into H1 status. You don't need a visa stamp unless you want to travel outside U.S. and come back later.

You can't go to U.S. consulate to apply for an H1 visa without the H1 approval notice.

So first thing you want to do is to ask the company to file H1 petition for you.