The last two years, since I reside in NY and work in NJ, I have been getting a huge credit on my return in the range of 4k to 5k of a refund being that I get the credit for all the taxes I paid during the year to NYS. My question is, I rather get that money in each check instead of giving the gov my money all year long for free. Should I just to increase my NYS withholdings from to like say 4?

If I understand what you're saying - because of the taxes you pay NJ as a non-resident you are finding that the credit on your NYS return for taxes paid to other jurisdictions is causing a big refund of your NYS tax, right? You can resubmit your NY form IT-2104 with your employer, and as you go through the worksheet that's part of that form include the NJ taxes as "other credits" - line 13. The form is here: http://www.tax.state.ny.us/pdf/2010/fillin/wt/it2104_2010_fill_in.pdf