I don't have the experience of the situation that you have mentioned. Rather I would be almost exactly  in your shoes probably after a year and I thought (after talking with bunch of people) that going to Nepal and getting visas for both would be the better idea.
Goodluck

 @supersixnine: You got it totally wrong. I am not sure about your sources.  You can apply for H1B visa interview ( 1st or 2nd) from any US embassy or US consulate that provide visa services. Please check  State website. Also I called them and confirmed it

I got my first stamping from US Consulate Sydney on Nov 2012. 
Only reason home country is recommended is if you get stuck with Administrative Process or something else, you don't need to worry about maintaining your status in your home country.

@nepalichoro2012: prepare necessary documents ( google it). I guess it does not matter whether u apply single or with your wife. Since you are full time employee ( i guess not any desi company), you should be fine.

Congratulations and best of luck 

Can you apply your H1b first (as soon as you arrive in KTM) and get married and then have your wife apply visa later ??

That way if they take some time for processing, you're on a safe side.

Can we do that ? Anyone ?

Yes, you can go for your visa interview first but make sure you both (you and your soon to be wife) will agree to get married regardless the outcome of your interview.