It's also a bit easier to have your SSI/SSDI direct deposited into a nationwide bank such as Bank of America or USBank at least a month before you move out of state - if you know way ahead of time, I would suggest doing it immediately.
Even if you do plan to stay in the state you currently reside in, it's always a good idea to have your check direct deposited into a bank - that way you do not have to worry about late mail, destroyed/missing/stolen checks, or people peeking into the envelope to see how much you're getting.