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Just thinking ahead in terms of driving down there.. I'll probably be driving from Toronto. Do you just bust a U turn at the border?
 
If you send your PP by mail then you can run down to the border and "flagpole". I took my passport in person so I had to go to downtown Buffalo first to the visa office. Then I had a few hours to kill waiting for the computers to update, so I went to lunch and did a little American shopping ;D in Niagara Falls before heading back to Toronto.
 
Ahh I see, it's a different office than the border. There's my mistake. Thanks!