If my fiancee came to the US illegally

If my fiancee came to the US illegaly what is the best course of action to follow? Should we get married here and then go back to his home country and file for immigration or is it better to leave the US and get married in his home country and then file the I-129 and I-130? I am just not sure what happens since he came here illegally. Are there fines that have to be paid? Does anyone know?