It's important as well that you still send the change of address letters, just like you would if you were moving within MA.
I've heard stories of people that don't, and when they go for a non-res or come back to MA (don't know why they ever would) they get disqualified because they haven't sent the notification.
Nowhere in the law does it say anything about inter-state moves vs. intra-state moves.
Here's the form:
http://goal.org/Documents/frb_change_address.pdf
Here's the goal page on it:
Information for moving within state.
Note the part at the bottom of the goal page that mentions moving out of state.
Can't hurt.