Looking to soften the tax bite? Consider what the denizens along billionaire's row in Incline Village, Nevada, have known for years.

Residents of this mansion-studded hamlet on the northeastern shore of Lake Tahoe are not subject to state income taxes because Nevada doesn't have any, while their neighbors on the lake's California side can face state rates topping 10 percent.

"If you have $50 million worth of capital gains in one year, that's $5 million more in your pocket," says Alfred Peguero, a partner at PricewaterhouseCoopers who advises wealthy clients.

Moving to a zero-income-tax state—Nevada, Florida, Wyoming, South Dakota, Washington, Texas, and Alaska—could be a great way to save on taxes. But the strategy is not easy and is certainly not for the masses.

Wage earners must pay state income taxes if they work in a jurisdiction that has them. So if you live in Nevada but commute to California for your job, you owe California taxes. (Federal income taxes apply no matter where you reside.)

For others, including entrepreneurs, who can base their business anywhere, or people with passive income—think pensions, royalties, or investment portfolios—living in a tax-haven state makes sense.

Among those who have called Incline Village home over the years are former junk-bond king Michael Milken, Beach Boys singer Mike Love, PeopleSoft co-founder David Duffield, and Girls Gone Wild producer Joe Francis.

Still, tax pros warn, it's no cakewalk to the bank.

"You're probably going to increase the likelihood of getting audited," says Christopher Boyett, chairman of the private wealth services group for the Holland & Knight law firm's Miami office.

Boyett, who is advising a tech entrepreneur on reestablishing residency in Florida—and saving as much as $75 million in taxes in the process—recommends demonstrating your commitment to severing ties with the state you want to leave.

That means not only changing your driver's license and church or synagogue affiliation, but also buying cemetery plots in the new, lower-tax state. Also have receipts and bills to prove you spend at least 183 days a year at your new homestead.

Unwilling to uproot? Consider what other superrich have done: set up corporations in places like Nevada, move stocks and bonds into them, and earn capital gains, interest, and dividends free of state tax.

To obtain proceeds, "this is where you push the envelope—borrow money from the corporation," says Jeff Schnepper, a columnist for MSN Money and author of the bestseller, How to Pay Zero Taxes.

"If you borrow the money, you don't pay tax," Schnepper said. "If you owe money to the corporation, so what? You're owing the money to yourself."

As an added benefit, the money owed to these corporations can be used to offset estate taxes.

"If you really want to be sneaky, move to a place like Florida or Texas or Nevada, spend a year in that state, take all that money out of the corporation and then you can move back to wherever you want to go," Schnepper said. "You're playing a game with the state tax. Sophisticated people are doing it."

But beware of pushing the envelope too far.

Francis, the nudie-video mogul, faces federal tax-fraud charges over allegedly falsifying business expenses and hiding profits in offshore accounts.

PeopleSoft co-founder Duffield had to pay California $19 million after being accused of shifting stocks into a Nevada company to evade taxes. He's now suing the state for a refund.

"Just because you leave the state, the tax authorities sometimes will fight," says Peguero, whose colleagues at Price Waterhouse—the predecessor to PricewaterhouseCoopers—advised Duffield. "The presumption is it's for tax avoidance."

For some, the moving and hassles just aren't worth it. One of Peguero clients recently decided to leave the tax haven of Hong Kong for high-tax New York City. The client told him: "I love the Upper East Side."

"You want to be happy in life," Peguero says. "It's not all about taxes."