You should go back and file past years if you can, so long as you have filed for the past 5 or 7 years (whatever the IRS's window to audit or call into question a return is) you will be fine. You pay your local taxes first and then file the federal paying any amount above and beyond what you've paid (assuming a double taxation treaty exists). Rule of thumb if you aren't making a ton of money and the local tax burden is more than the federal burden you won't owe anything, but you still have to do the paperwork.