In general, you should keep records of both your income and expenses for deliveries made out of state. To be precise with your state returns, you are earning some of your income from a non-resident state when you deliver across the state lines.
However, that does not necessarily mean that you will be required to file two (or more) state tax returns. You would need to know whether the other state imposes a state income tax or not since not every state does. If it does, then you would need to know their minimum filing requirements based on filing status and income. If your income from that state exceeds the filing requirement, then you should file returns for both your resident state and the applicable non-resident state.