I only had retirement income last year from two different sources: 401K, and a pension. Both 1099-R show that nothing was withheld for state taxes. I have to pay penalty?

TT shows I'll have to pay a penalty on my state tax return for underpayment of state taxes.  No penalty on the federal return.  To avoid the state return penalty next time, should I just adjust my W4 for a new job I just started to have enough state taxes withheld?