I'd suggest you visit with Abid Hussain (attorney - (214) 503-7509) and Jacenda Anderson (accountant - (817) 885-9189) about how and where to file, as well as what corporate entity to choose. They are both investors and thoroughly conversant with our special needs.
Please do all of us a favor follow up back here letting us know what they say.
I see looooots of national "gurus" out there advocating fling in out of state locations and using exotic corporate structures; but after talking with attorneys and tax professionals, I have yet to see more than a handful of investors actually choose to do that.
If there's anything else I can help you with, please let me know.
-Greg Wilson ("The REI mentor" -- www.reimentor.com)