I live in NJ and work in NY, do I put my state, wages and state income in for both states under federal (NJ does not have state income tax)?

You will report your income on your federal, NY and NJ returns. 

New Jersey does have state income tax. As a resident, you must report the income you earned in NY.

To insure you receive credit for the state taxes you paid to NY, you should complete your NY Non-Resident Income Tax return after your federal.

Complete your NY Resident Tax Return last.

For more information, follow these links:

NY Non-residents

NJ Residen t Tax Returns

You must complete the NY NR return before the NJ Res return to receive credit for NY tax paid on the NJ return.

NJ definitely HAS a state income tax.

After completing your federal return, do the non-resident NY return next.  Then do your home state NJ return last.  When you do the NJ return, remove the NY income.