Unfortunately Scottgem may be incorrect. Most states want you to file in the state where you worked for the longest during the year. In your case, you file NJ first then you file Pennsylvania.
The Official Web Site for The State of New Jersey is the site for New Jersey.
Here are your steps that you will need.
1. You need your last paycheck.
2. You need to identify your last date of work based upon pay and vacation pay given to you at the end of employment. Usually this is about two weeks after your final day of actual work.
3. File immediately the day after your last full day of work. Even if you can't receive it immediately, you can still accrue for a limited time, and that prevents them from giving you an extra week of no pay. Be very honest about everything
4. Search for work and start identifying the places you searched. Submit resumes etc. Don't scrimp, everyday you search keep records.
5. Fill out the claimant forms to show that you searched and were available for work
6. Rule six is my rule of unemployment. Chances are it will be at least a month before you can find a new job, if your old job was one based in a certain non-educated field, such as labor, consider this time to get some technical skills, or to learn a new trade. You can return to school within limits of your state to retrain or to start your path towards a new career