Hi,
I am a graduate student came to US in 2008 August. I earned wages from the Univ since then. I filed ITR for years 2008 and 2009 on line using "TAXACT online"for federal returns and received direct deposit. Recently I realized that I will be categorized under non resident alien and has to fill 1040NR.

Regarding the state taxes, I filed paper tax for state in 2008 and did`nt file for 2009 year

Will it be a problem in the future for H1B or any other issue?

Kindly please advise me how should I proceed next

On F1/OPT you are exempt from residency for 5-years. You must file non-resident tax return Form 1040NR or 1040NR-EZ and Form 8843. Your income is not subject to FICA taxes. Your U.S. Tax Return: U.S. Tax Filing Requirements for Non-Residents (http://taxipay.blogspot.com/2008/03/us-tax-filing-requirements-for-non.html)

You filed resident tax return for 2008. You can file amended tax return Form 1040X along with properly done non-resident tax return and Form 8843. Pay the tax due. Attach a letter for Waiver of Penalty giving your reasons this happened.