LLC formation, does it matter state of filing?

[Khaled Seirafi]

Hey there. For the past few years, I've been working for my family, managing their properties pretty much full time. However, I wasn't reporting any of the income I made. I'm wanting to get started in out of state investing (I live in CA) although I need to create a track record for income for about a year to show lenders when I'll need financing. I was told to create an LLC for myself and have my income paid to the LLC so that I can report it. My question is does it matter which state I file the LLC in? California's LLC costs are pretty high.