saptarangi bro: There's no tax benefit (at least income tax) whether you work on OPT or other EADs. The only benefit when you work on OPT (as a f1, j1 visa) is that you don't have to pay your FICA and medicare taxes. But if you are a resident of that State, it is what it is. You can try filing NR for state filing as well but you will be taxed on all income you earned in that state. Just pay the damn taxes.

Remember IRS has nothing to do with Immigration.