If you have plan to leave US and re-enter, you don't need physical visa in your passport because you are in legal H1b status.
Your family can apply their H4 visa with your and their H1 and H4 approval notices issued by INS.
If you want to go abroad, you can get a physical visa stamp either in China or Canada and Mexico. In China, pro is convenient, con is you may be subjeted to background check, which will takes several months, enough to let you lose your job. In Canada and Mexico, pro is even you are asked for a background check, you still can come back and wait, con is if you are rejected, you have to go back to your home country directly.
Clear??
Your family can apply their H4 visa with your and their H1 and H4 approval notices issued by INS.
If you want to go abroad, you can get a physical visa stamp either in China or Canada and Mexico. In China, pro is convenient, con is you may be subjeted to background check, which will takes several months, enough to let you lose your job. In Canada and Mexico, pro is even you are asked for a background check, you still can come back and wait, con is if you are rejected, you have to go back to your home country directly.
Clear??