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.