Would I need to file a form I-765 and if I have a job, do I still need a sponsor?

In connection with a marriage-based adjustment of status application in the Immediate Relative visa category generally an applicant should file a Form I-765 (and, if eligible, a Form I-131) despite having an EAD associated with an F1 and despite having applied for OPT. Regardless of your job, your U.S. citizen spouse will need to serve as a "sponsor" with the filing of an Affidavit of Support. Of course, there are many more details about the application and required supporting documents. It would be wise for you and your fiance to consult with an immigration attorney who, after learning all of the relevant information, could advise about eligibilities, options and strategies to attain your goals, and who then could offer legal representation in the often complex application process.