I live in Oklahoma in the US. How do I say that?

Bonjour Rita !

Here is a link to our related lessons on states and countries in French:
https://progress.lawlessfrench.com/revision/grammar/prepositions-with-regions-states-counties

https://progress.lawlessfrench.com/revision/grammar/use-en-with-feminine-countries-and-aux-with-masculine-countries-to-say-in-or-to-prepositions

You would say: J'habite dans l'Oklahoma / en Oklahoma, aux États-Unis.

I hope that's helpful!
Bonne journée !