Please help!

I am a Canadian citizen by birth, and I have been with my fiancee for
3 years, we currently live together in Canada- he has dual citizenship
US and Canadian. (He was born in the US)

We've graduated university and have been working for the last few
years in Canada, and we've been planning on relocating to the US.

I was planning on applying for a J1 visa, and doing an
internship/traineeship while living with him in the US- this way we
can live together, I can be there legally and we can plan the wedding.

I've been told that because I'm Canadian the 2 year HHR does not
apply- (I'd be training in the Art/Entertainment industry- nothing
government related)
Since I'm Canadian, I believe I'm granted J1 "Status".
.
Can I get married while in the US on a J1 Visa because I've entered
the country legally?
Or would this be considered immigration fraud (even though I will be
training in the US)
Can I adjust my status while on a J1?

Or would the finacee visa be a better option? I know I'd have to be in
Canada while he petitions for me. Doesn't seem right for us, since our
our counteries are so close.

Should I we wait till after the J1 Expires? Are there consequences to
getting married on a expired J1?

Or should we just get married while we're still in Canada?

We need an option that splits us up for the least amount of time!I'm
so confused-

Please advise!!