If you have time left on your STEM OPT but have won the H-1B lottery, you can technically opt for H-1B consular processing and continue using your STEM OPT. However, since 2023, this approach has become riskier.
The safer option is to proceed with an H-1B change of status. If you delay the H-1B activation and later face job loss, transferring the H-1B could be more complicated. While consular processing is still possible, it carries uncertainties. If it were my case, I would choose the change of status for a more secure transition.