You have two options.
1) Marry her now and let immigration know immediately that you are adding her to your file. This will delay your visa because she will also have to have her medical etc. but you can go to Canada together when you both get it.
2) Do not marry her yet, go to Canada, land as a PR. Then go back, marry her, go back to Canada and sponsor her for PR. This can cause immigration to question if you marry her very soon after you got your PR, why you did not marry her already before you got the PR and add her to your file.
In any case, it would be best for you to advise the embassy that you have a fiancee that you want to marry so they know and they can maybe better advise you which would be the better option.
Whatevery you do, do not marry her and not let them know and land as a single PR because that will prevent her from sponsoring her later.