I'm not in the US (I'm in Canada) but I know a few people in the states. I know you just have to makes sure the state you want to transfer too has the same amount of hours required, or less, to get your class on licence. If the new state requires a longer course you will in fact have to go back to school for these extra hours.
You also, usually, have to retake your exam in the new state. Some will transfer a valid licence, meaning its not expired, for a fee but some will require a written exam for their laws.