You should insure your vehicle in the state that is your primary residence. This would be where you maintain your home, drivers license and vehicle registration. You should inform your insurance agent that you are in the military and stationed in another state. Each state has varying requirements regarding the minimum levels of coverage needed. Your insurance agent will be able to advise you if your policy is adequate or if any changes need to be made.
Some insurance companies require that you buy a policy in the state that you are stationed. If you will need a new policy you can get a direct insurance quote here to see how much it would cost.