Do I file a state of federal claim for lack of payment?

You probably don't have a choice.  Federal courts do not have jurisdiction over most claims.  A federal court can only hear cases which either involve a federal question - such as claims arising under a federal statute (like ERISA, or the Voting Rights Act) or involve adverse parties from different states and a sufficiently large amount of money.  For example, if you and your employer are citizens of different states and your claim is for $75,000 or more, a federal court would have jurisdiction over your case against your employer.  There are some other technicalities as well, but those are the basics.  Your question doesn't divulge any basis for federal jurisdiction, but if there is such a basis, you would then have a choice over whether to sue in federal of state court (although there are a few types of cases which cannot be brought in state court and must be brought in federal court, yours does not appear to be one of them).  Attorneys generally make such decisions based on tactical reasons, such as which Court generally moves faster, where the physical courthouse is located, their familiarity with the judges and procedures in each venue, which court has a more effective or a cheaper mediation or arbitration program, etc.  You may also wish to assert claims with the local better business bureau, department of labor, and any other administrative agency which might get involved in such employment issues.