I know annulments are only supposed to be if someone one lied about their status or in instances of incest, etc... what if I was the one who led my husband to believe I was more financially stable than I am, can I get an annulment or would he have to file for it?
Is an annulment less expensive than a divorce?
My husband and I got married in Vegas, but live in California and Mississippi, respectively... how and where would I file for either the divorce or annulment?

Ok first how long were you married that can sometimes mean more than which one of you mislead the other one. And I've never known of an annulment to cost less than a divorce.

My guess with the limited info given it will be a divorce

We've only been married since July. And haven't actually lived together longer than a couple of weeks at a time since... does that shed more light?

If you are talking July of this year then you should be able to get it annulled but it still depends on which state has jurisdiction over the marriage. Only one state can have that not all three.