No. You may submit original supporting documents by mail. It is only necessary to visit a U.S. embassy or consulate if you are seeking to have your documents notarized by a U.S. notary. If you choose, you can instead have your documents certified by the issuing agency in the country where they were originally issued. There are companies and individuals that are certified to notarize US documents in many countries. If going to the embassy is not a convenient option for you, we encourage you to do some research to find such a company in your area.