I live in ohio and work in West Virginia. My company has paid into WV all year instead of Ohio. I am going to get this changed. How should I file ?

[Critter]

Well that was wrong ... so file a form  WV/IT-104 R with your payroll department and see if they can fix 2017 for the entire year.  If they cannot fix it then you will have to file a non resident WV return to get the erroneous withholding back. 

https://ttlc.intuit.com/questions/2895760-which-states-have-reciprocal-agreements

[SweetieJean]

Otherwise, you will likely owe OH for 2017, so you may wish to make an estimated tax payment in order to avoid any underpayment interest/penalty.

[Hal_Al]

Ohio has a reciprocal agreement, on wages,  with all neighboring states. No state taxes are withheld or due and you do not normally need to file a return for the other state (MI, PA, KY, WV, IN). But OH will tax you on your other state income.
If other state taxes are mistakenly withheld, you then have to file a return, for the other state, to get a refund. OH will not give you a credit for what WV withheld.