I am in a similar situation, as I am also from Rochester and married a Canadian. Unfortunately, the right of living together after you get married is not automatically granted by immigration, so I, and probably everyone else on this forum, feel your pain.
Probably, the best way would be to get married first, and it would be best if you got married in the U.S. This is because when you show up at the border, you are going to want to have your marriage certificate available to at least prove that you are, indeed, married. In addition it would not hurt to have also paid the application fees (you can pay them online via the website) and show up at the border with the receipt. Maybe get most of it done and filled out. (also might want to have FBI checks done soon, because lately I'm hearing this is taking about 4 months for those results). Anyway, having all the info on hand, this proves that you are seriously going to apply for permanent residency. Come over the border with your new wife, and ask to stop in at immigration. Explain the situation, present the materials as proof, and ask for a visitors pass for your wife for her to have temporary status during the application process for permanent residency. After this, I can't guarentee you anything. It all depends on the border guard, how clearly you explain everything, how much proof you have, *sarcasm* probably even what the weather is like that day, etc.
Once they give you the pass, you can apply inland --the option on the website for the "In-Canada" application. You will send your application to Vegreville and depending on how straight-forward your application is, she will hopefully have PR status within a year. However, I've heard it taking up to 3 years. At this time, its highly recommended she not leave Canada during this process, because if she is not let back into Canada, they throw out her app, and you have to start over. So she can't visit friends or family in the States until she gets PR. The good news about applying this way is that she needs to send in either a renewal of her visitors pass or an application for a work permit, along with her PR application and as long as she has had valid visitor status, she will have implied legal status in Canada until her application processes. Good news for you, that means that you can live together during the entire application process -- her being legal in Canada.
The other way to go about it is to apply for the "Out-of-Canada" or outland process. You don't have to worry about where you get married or anything, and she is free to travel across the border all she wants. This process also tends to be quicker that the inland process. Bad news is that this way, it is a little more tricky to get your wife a visitors pass during the application process. She pretty much has to still be established outside of Canada, and show intent that she will be leaving Canada after her stay (however long they give her). I can't speak from experience here, since we did not apply this way, but I imagine it is more difficult this way to live together after marriage.
Hope this helps!
