The other answer saying you can put your mailing address is incorrect. I have a mailing address in California, but live in North Carolina. Now California is telling me I need to file a tax return there since they've seen that my physical address is in California (despite me never having lived there).
The real answer is, if your physical address is in the same state as your mailing address, it doesn't matter what you put. If your physical address is in a different state than your mailing address, the other state will want to know why they didn't get a tax return filed for that state.
