With an approved ATF 5320.20 you don't need to notify every state that you travel through on your trip. You will need an approved ATF 5320.20 for the destination state and address. If you will be using the NFA firearms in different locations within the destination state, then you would need multiple ATF 5320.20's, one for each location. For example, if your NFA firearm is in Texas and the destination state is Arizona, you won't need to get an approved ATF 5320.20 to travel through New Mexico.