Is F1 visa stamping advisable in Canada or Mexico? (currently on H4)

I am currently on H4 visa, and got accepted into a university with the Masters program starting in Fall semester. Is it feasible to get the F1 visa stamped in Canada or Mexico, rather than going back to my home country (India). How risky would it be? Please share your experiences.

I do not think it is risky but I would suggest to get it stamped only if it is necessary outside India.

Lets say you have a vacation in Canada or Mexico, then get it stamped there. Else get it done in India.