Typically, no, you will not file separate state returns, however, each state has it's own laws governing how to handle taxation of military income and the spouses income. Here is a link to use to find how the state you are residing in and your resident (home of record) state handles your incomes.
Typically, you would file a joint federal return and a joint state return in your joint home of record state. In other words you select the same resident state as your military husband and file jointly in that state.
Most states do not tax the salary/wage income of the spouse of a military member who is in the state only to be with the military spouse on military orders. The spouse's income is instead taxed by the resident (home of record) state.
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