Can I go to US embassy in canada for instant process of this transfer application?
-No. Have to file I-129 within US and get it approved. Then, you can get the visa outside US if you travel outside US later.
By the way, if your current employer will not withdraw the I-140 (most companies in this case never withdraw I-140), you may just work for the new company after the H1 transfer is filed (not need premium processing).
