Yes you have to apply for entry visa at one of the US Consulates

You need to bring with you:
1) Full set of H-1B application deck and approval notice
2) Your current pay-stubs
3) A letter from your current employer stating you're being employed by them
4) And of course, you need to fill up an application form and pay a fee.
5) Don't forget to schedule an inteview appointment via the phone. Do it at least one month in advance.