If I live in NJ and work in Phila do I have to file a PA (or a Phila) tax return? I know how to do my NJ taxes, I am just unsure if I have to file anything with the city.

No need to file in Philly - their payroll tax should be automatically deducted from your pay. The levy from Philly is actually a payroll tax, not an income tax, and so is not part of the PA income tax forms.

Are you having NJ income tax withheld from your pay, under the reciprocal agreement between NJ and PA?