You won't actually notice it doing anything unless you approach a state border (then you'll see it load the other state). All the lock/unlock is done pretty quietly and invisibly.
If you go to manually set your location in the menu, it defaults to the current location (how to see the current GPS location on the screen).
If you go to manually set your location in the menu, it defaults to the current location (how to see the current GPS location on the screen).