You can file them separately, but I'm always leery that I am going to forget to to file the state later on.

Yes can be efiled separate.   I'm holding lots of Indiana state returns waiting for decision on unemployment exclusion.   But like @IRonMaN says it can be easy to forget the state once federal is done.  I keep the clients file out until the state has been sent.   Big ugly pile of folders is a good reminder there is still work to be done.  

This chart helps to determine which states you can do this with. https://proconnect.intuit.com/community/individual/help/ef-atlas-federal-state-ef-method-standalone-...