I live in Missouri and I consult with a company in Oklahoma. I received a 1099 MISC for my services. Is this taxed as Missouri income or Oklahoma income. Do I need to file 2 state returns.

Yes, you need to file two tax returns. First determine your taxes for OK as a non-resident wage earner. You pay OK taxes only on your OK-source of income. Then do your MO return - since that's the state you live in you report all income to them, including the 1099, and you initially calculate your taxes as if you had to pay MO taxes on it all. But then you take a credit for taxes paid to other jurisdictions (namely OK), so at the end you are not double taxed on this income.