Unfortunately, you are not able to receive a deposit into a bank account located outside of Canada.  You would have to receive your payment by mail.  For more information on this, you may want to contact the Canada Revenue Agency.  The phone number is 1 800 959 8281.

So the only option is cheque from Canada Revenue posted to my address abroad. Then I'll have to bank it in my local bank.
How about T4 Slip. I've read that February or end of March is the time that I should get it from my employer. And the deadline to do tax return is end of April? Am I right?