just because you get exempt-interest dividends, doesn't mean those from your state are exempt from taxation. every state is different. my state exempts some but not all. you have to decide if its worth the hassle of finding out not only what portion of them come from your resident state but also what portion of those may be exempt from your state's taxation. personally, if the amount is small just use TX as the state - 100% of those dividends will then be subject to your state's taxation.
