I have not tried this, but from reading the manual it appears that DX4WIN will catch situations where the import filter tries to put something in the STATE field, but the callsign is a non-US call. Given this, it may not be necessary to pre-sort the US callsigns after all, as long as you don't mind error messages in the QSO notes field.
Also, note that you need to change your user level in Preferences to "expert" in order to be able to edit a filter. The manual sagely recommends that you not do surgery on an existing filter, but rather copy it first. In my 5.01 manual, pp. 91-111 are devoted to import filters and their modification. In testing the copy feature, and then editing the copy, I found an interesting buglet -- the modification date given by the editor is 12/21/1702. A Y2K remnant? Still in 5.03? 73, Pete N4ZR