I got my fiancee visa in Chicago, so the following post won't apply 100%, but still, the process is the same. I found my old post from January and am just copying and pasting. My situation: David in England in in the US, applying for fiancee visa alone a few weeks before I flew.
Here's the post (minus completely irrelevant bits):
My parents drove me up to Chicago yesterday morning, we left here at 4 am to arrive at the door of the Wrigley Building at 9. It was so cold I think we all nearly died. We got to the building at 8:45 and they let us wait in the lobby to go up the elevator at exactly 9:00. We went up (they let my parents come with), through security, and into the teeny room. I took a number (3). When I was called up to the window I was frantic with nerves, but had everything organized in a binder, and thought I had all my ducks in a row. I was nervous because I didn't have bank statements from either one of us, because the fine letter of the documents I read said I needed either bank statements proving he could support me, or a letter from his company proving the same thing. We had a letter from his company, but at the last minute I was paranoid it wasn't enough. So anyway, the lady at the window was really nice ... it was a bulltproof window like at a gas station, no private room like I had imagined ... and took:
My passport
David's passport
My new passport photos
My letter of intent
David's letter of intent
Application forms
Letter from David's employer
David's divorce papers
Letter from his parents saying we could stay there
They didn't care about my phone records, photos, or anything like that... but I'm really glad I brought them anyway! It helped that I had an engagement ring on as well, she asked if I had one and thought it was lovely.
The one snag was that I didn't have the deed (or a copy of it) to David's parent's house - that they own. So I had to call DAvid right there from the office and have him get the deed from his mom and fax it over, the lasy said if they received the fax before 4 we'd be fine. So I called back at 2:00 to see if they had the fax, they did, and everything was peachy.
The most annoying part of the day though was when we got back to the South tower at 3:50... ten minutes early to pick the bloody thing up... and they wouldn't let us wait in the building at all! They did in the morning, but nooooo... not now! Not in the freezing cold weather! So we had to go back outside and stand outside the window for 10 minutes until we could go back in and get on the elevator. A-nnoy-ing. But oh well.
Anyway... Good luck, I'm sure it will be no problem as long as you've got the documents, and it never hurts to bring more than you need.
Let us know how it goes!