Help. Should I Go to Canada to Get Visa?

I came from Canada through the Buffalo Border Port and a border officer only gave me a I-94 card with TN and date on it and didn\'t put anything on my Canadian passport. Now I changed from TN to H1B with approved notice and my lawyer asked me go back to Canada to get a visa and come back to work in the US. Should I go to Canada to apply an American visa on a border port or an airport or American Consulate and ask them to put American visa on my passpart? Does a Canadian working in the US with H1B still need an American visa? I am really confused. Please help me.