You are correct, there is no reciprocity agreement between Maryland and Indiana. Since you live in Indiana but work in Maryland, you will need to file a Resident Indiana return and a Non-Resident Maryland return. You will report all of your income on your Indiana return, but will receive a credit for the taxes you paid to Maryland.
Does this mean that eventually this person only pays tax to one state?
@xie186 - correct - simplified explanation: you fill out the non-residential state FIRST and whatever the tax liability is on that tax return becomes a credit in the residential state. that way you are not paying taxes on the same dollar in two states.
Q. Does this mean that eventually this person only pays tax to one state?
A. No, not exactly. What it means is: the person is not double taxed. He pays the same amount* of tax as if he lived and worked in the same state; he just splits the money between the two states and has the hassle (and cost) of filing two state tax returns.
*Sometimes the credit for the home state is not 100% of the tax paid to the work state, so there may be a small amount of double taxation. Living in IN and working in MD, would usually be one of those cases.