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That is the safest & best way to do it, but you need to check that the embassy has an IRS section. If it has, you take your filled in form W7, your passport, and a letter that you can get from TS support, and they check the forms there & then, and send them off for you. At least that's what they did in the London Embassy for me.
If there is no IRS section, I think you can still get the notarised copy from the embassy, but you will have to pay for it ($30) and send the forms off yourself. There is a whole forum devoted to this tax witholding, so you might want to read that before you start. A number of people, myself included, have detailed how they went about getting the ITIN.
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