Hi Lolabola.
You don't need a fiance visa at all if you're going to get married in the US. Instead, you would simply come to the UK on a visa waiver, then travel back the US to get married. Then you would go to the consulate and get a spousal visa to come back to the UK to settle. There are lots of people here who have done things (or plan to do things) that way.
However, I know Marlespo has gotten a fiance visa, even though she intended to get married in the US. This was due to her having problems at immigration at one point, and not wanting to repeat a very bad experience.
If you go the route of the fiance visa though, I don't think you can change status in the US. Usually, you have to do that here in the UK once you have proof of your marriage.
I'd check with the consulate about the changing status thing, definately. And if you haven't had trouble at immigration, and don't plan on being in the UK an awfully long time before you're married, I wouldn't worry at all about the fiance visa.
Just my thoughts! Good luck!