What is the name of your state? West Virginia

Hi, I'm South African and I have been working as a missionary for 2 years and 3 months on a R1 visa. I met my fiance, a US citizen 2 years ago. My R1 expires in October 2005. We plan to marry in June. Is it advisable to go to South Africa on my R1 visa and marry, come back to the US on my R1 and then start filing all the necessary applications for residency. I would most definitely want to be marry back home. What's your best advice. Please help....very confused. Thank you in advance.