You don’t necessarily have to relocate before appplying for jobs in other states.  I would recommend removing your address from your resume and just have your phone number and email address.  That way you are more likely to get a phones calls for interviews.  
If you are looking for places that are hiring you may also want to take a look at this free search engine that crawls company webaites for job openings.  (http://www.linkup.com)

You have to get your application/resume in front of the right people. offers a database of thousands of recruiters and headhunters that get paid if they fill positions with good people. The site also includes great job finding software.

Once they find you a job, then you move to that area.

You’ll be happy you checked it out when you are working at a new job in a few weeks.

No. Get the job first, then relocate. Make sure you put on your resume that you are willing to relocate.