No, if Illinois is your State Of Residence, you file for Illinois only.
If you intend to change your State Of Residence, you will need to fill out Form DD2058 with your Military personal office. Your official State Of Residence is the state you file and pay taxes to (if state taxes are owed)
If Illinois is/was your Home Of Record, that will never change and Illinois may well be your official State Of Residence as well, but that can be changed, in which case the state you change to will be the state you file for going forward.
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