Which state should I use for filing business state taxes ?

My S-corp is registered in CO - State. I am the owner employee.
For the entire year my income was from state of FL for this business as I was contracting for a company based in FL for their FL client.

Though I did withheld taxes from my paycheck for the CO - state and have been filing with state of CO for employment insurance and tax withheld, I wondering if I have been doing it right ?

Please advise.

Thanks a lot for this.