I am holding F1 visa (grad student) and physically present in US.
I just got selected by 2012 Diversity Visa Lottery.
I know I may be eligible to change my status directly.

Somehow, I hear people say if I try this way, it's very complicate and sometimes, it can be denied.

If I don't change my status, and just proceed in the regular way (e.g. having interview), is this way safer?

And if I decide to have interview, where should I go? Have interview in US or go back to my home country to have interview?

Please advise