I recommend using an attorney.
I set up a few myself in my early days - then I started wanting Nevada corps or Delaware corps for the tax & liability benefits and found that an Attorney doesn't cost me more than a couple hundred over what the regular State fees are and they will be your 'registered agent' or 'registered office' in that State for at least a year for free.
I think Attorney's are well worth their fees when it comes to filing all the reports, paperwork, etc.