I live in NJ but work remotely in NY, who do I file state tax withholdings with?

I started working for a company based out of NY and they asked me to file a W4/state withholding form. I filed a NJ-W4 but after looking online I think that may have been a mistake. Which state do I file the withholding form with and, if I need to, how can I withdraw my NJ-W4?