To be completely "legal" you must make the state you use your residency state, talk to a good attorney. There are advantages to what you are asking but there are also legal drawbacks based on your particular situation and most states have different rules and definitions of residency requirements you must meet, (ie. full time vs part time) which drive tax reporting requirements. Good Luck.
This is not to say every body follows the rules, just be educated on what your exposures are, (think Montana).