Ok, this is my take on the visa situation since I am on the same scenario...
I would not suggest a H4 visa status. Stay on F1. Your wife is on H1, and if for any reason, she has to change her status, yours can get affected too.
The biggest drawback of H4 visa, for MBA students will be that you cannot work part time. that means
1. No assistantship for you. You cannot be a TA/RA
2. No CPT (curriculum practical training - issued by the school only to F1 students) that allows u to work in the summer on ur internship. If you are on H4, you can only do volunteer unpaid work.
3. No OPT (optional practical training) - a one year program after u complete school where you can work for any company. Again. OPT is crucial for all international students. Sicne H1-B kicks in at October 1, you have to work on OPT from May to October and even longer if your H1-B visa does not get issued in the same year as you graduate. PM me for any additonal details on this process.
When you go to F1, the transfer happens immediately. So if you plan to go to school on aug 15, and quit ur job on Jul 15 to switch from H1 to F1, the F1 visa kicks in from Jul 15. You need to file an application with USCIS. Its an easy process but make sure that you decide on your F1 start date in advance so you can get your I 20 also.
You can get ur new visa from any BORDER posts in Canada/Mexico. Mexico would be Matamoros, Mexicali and Tijuana. Canada is Tornoto and Vancouver (few others more, cant recollect). however, to go to Canada border posts, you need a tourist visa and the Canadian consulate on certain occassions has refused to issue tourist visas to Indians (some say, its coz Indians immigrate - but that used to happen 20 years ago.. the Canucks need to wizen up a bit)
For Mexico, you dont need a tourist visa to get into the border posts, provided you carry a valid US visa (in this case unexpired H1 visa).