You might have a problem, but should be able to deal with it. The more steps you take to showing "immigrant intent", the more chance you have of being denied a new visa for that reason. You've been in the U.S. a while and taken steps toward a green card, which could lead to a conclusion of immigrant intent. Having submitted the DS-260, you might as well go all in now. File the adjustment of status. In the meantime, continue as a full-time student. The key is to keep from having the government look at your status, so there's no opportunity for them to decide that you are an "intending immigrant" until it's time to grant you the permanent residence. So don't leave the country or try to get a new visa. You can continue under duration of status as an F-1 as long as you stay in your current program.
Pay close attention to deadlines, because the system is unforgiving if you miss one.
And, understand that just getting selected doesn't guarantee you'll get all the way through. They select more in the lottery than they actually have to give out. Watch the Visa Bulletin (
Visa Bulletin) at Section B to see where the current cut-off is (compare to the allocation number you were assigned). And, if you are in the DV-14 program, you MUST finish the process by Sept. 30, or you are out of luck.
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