How do I take a knife with me across states?

Yes

As long as the knife is legal in the states you will be in. Certain types of knives, such as switchblades, are largely illegal.

In checked baggage, yes.

" I want to take my knife with me for protection,"

Old saying. Never take a knife to a gun fight. People that carry knives "for protection" find that 1/ they get into trouble with the law 2/ a knife is useless for protection.

Depends on what kind of knife. A regular pocket knife is never any problem.

A big hunting knife could be illegal in some states. A switch blade, gravity knife, butterfly knife or other kind of knife that can open automatically are illegal in almost every state.

Protection from what? I don't know anyone who has ever found the need to have a weapon for protection or has ever used a knife that way.

I would recommend you buy a new knife, it wont get pass the metal detection

You can put it in a checked bag since you won't have access to it during the flight however it might not be there when you arrive. Baggage handlers aren't exactly the most honest people in the world.

In short, regardless of how small it is, you are not allowed to carry any knife into the cabin of a plane. There is still some good news, though. You are allowed to check a knife in your luggage.