The general idea is that the sale itself is a capital transaction. The value of the principal of the loan is considered having been received on the day of the sale. Later, the payments you receive are tax-free, except for the portion that is interest. So, there are two parts to this. First, you need to report the sale. This FAQ has instructions:
This is how to report the interest you receive (instructions from TurboTax Tonita): https://ttlc.intuit.com/replies/5740058
One more note: for state taxes, you are only taxed in Illinois, because Wyoming does not have a state income tax.
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