Once you receive the PR visa, it will have an expiry date. It's usually one year after the medical exam was done, or the expiry date on your passport, whichever is earlier. You have to go to Canada and "land" as a PR before that date.
You can turn around straight away and leave Canada again. Usually PR's have to be physically in Canada 2 years (730 days total) out of each 5 year period to keep PR status, so you would have plenty of time to return and prepare for the move. However, since you are living with your Canadian wife, you will actually keep your PR status indefinitely even if you're outside Canada, as accompanying a Canadian citizen spouse is one of the exceptions to the rule.
When you land you have to give them an address to mail the PR card to. If you won't have an address in Canada you have a couple of options - either tell them you don't have an address (in which case you'd be given 2 months to give them an address, after which you would have to re-apply for a PR card later) or alternatively, give them a friend's address and have the friend mail the PR card to you. Since you're from a visa exempt country, you don't actually need the PR card to get back to Canada, but it will speed up your arrival when you come back.
