I Live in NJ, but work in PA. I payed Philadelphia Local Tax. Do I file a return?

I live in NJ, but work in PA and paid Philadelphia local tax.  Do I get that money back?  Do I have to file a local or PA state tax return? 

Is there anything I should be doing different to my W4 to make sure I do not pay this, or am I required to pay it?

Thank you!