I had this for a client a couple of years ago, married mid-year, moved states to marry. I think this is how I did it:

I prepped a MFJ return, then split the returns, so I had three client files (joint, husband, wife).

I e-filed fed only on MFJ (don't delete the states, just uncheck e-file on Screen 1 as if you'll paper-file state).  Then I did the reverse on the two MFS files, unchecked fed as if I'd paper file it, and e-filed states only.