Am a foreigner and living in another foreign country Finland. Me and my chinese fiancee wish to get

Am a foreigner and living in another foreign country Finland. Me and my chinese fiancee wish to get married so am planning to go to Shanghai to meet her. As a man and a foreigner must the marriage be done in Mingzheng Ju? Or it can be done at my Embassy? Which is the best way? If married out of China will it be recognised equally in China? Since am not yet married and no proof she is my fiancee or we are going to get married but can I still apply for marriage or family visa to China? Thanks