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

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.