Re-entry without H1-B Visa Stamp

I came to America on a one year J1 visa at the end of 2009. Before that visa expired, my new employer applied for a change of status to a H1-B visa on my behalf. It was approved and is valid until October 2013. I was sent the I-797A, Notice of Action, as well as the new I-94 to staple into my passport.
In my passport, however, I have the oroginal J1 visa stamp from 2009, but I do not have a H1-B visa stamp. Do I need to have one, even if I have all the other documentation, (and payslips/letters proving employment, etc.)? If so, how do I go about doing this?

I am leaving on vacation in a couple of days, and it will be the first time that I will have left the country since I got my new H1-B visa. What do I need to do to ensure there are no problems at immigration?

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Yes, you need to get your H1b stamped. Take all your employment documents with you when you leave the country. You cannot re-enter unless you have the H1b stamped.

Check the H1b page in this site or ask your immigration lawyer about what are the documents, what you need to do to get your H1b stamped.