Complete your federal return.
Hoperfully, no NJ income taxes were deducted from your pay as PA and NJ have an agreement that NJ will not tax the wages of PA residents. If your employer did withhold taxes, get it stopped ASAP. See link at the end. File NJ165 with employer.
If NJ taxes were withheld from wages, you need to complete a NJ non-resident return showing zero income subject to NJ taxes and get a full refund.
Finally, complete a PA resident return showing all income , including that earned in NJ and pay the taxes.
http://www.state.nj.us/treasury/taxation/njit25.shtml