Since you are a sole proprietor, you only need to pay taxes in the home state or in the state where you earn the income (ie. located). The reason being is that states don't/shouldn't have jurisdiction to levy taxes on individuals outside of state lines (levying taxes means the seizure of property or assets in order to satisfy a tax debt).
However, there are definitely a few states with alternative rules (NY, CA). For example, if you live in PA but travel to NJ for work, you are performing the work in NJ and will pay income taxes in NJ. As for a W-2 job, you will be paying NJ taxes as you work in NJ and payroll taxes are based on where the work has been done.
Payroll Taxes
For payroll taxes, there is withholding tax and unemployment tax. Withholding tax is mostly based on where you live, and unemployment tax is where you work. Referring to the example above, you will pay NJ unemployment taxes and PA withholding taxes. Heard estimates are for income tax and W-2 is for withholding- even if you pay enough in withholding you still may owe in income taxes.
Moving States
Throughout the year, if you move and earn income in multiple states, keep track of how much income you make in each state that you are physically living in. There are also minimum income requirements for each state. So if you make little income in one state, you may not have to file state taxes there. Generally if you make over $5,000 in one state you should start tracking how much you earn in each state.
There are areas in the platform that we will ask for this information during quarterly and annual taxes. We typically recommend registering the business in the state you live in and registering as a foreign agent in the other states (unless you make income in NY). This will allow you to reap the benefits on your home state return of all revenue made in other state.