I loaned $8200, looks like he is not going to pay it back. How do I file in small claims court or what are my options?

You're likely to have a difficult time proving your case. Not impossible, but difficult. Your friend may deny you ever loaned him the money or claim it was a gift. Without proper documentation, the only thing you would have to refute this claim would be your testimony. The more you can find showing the terms of the loan, the better.

You would also need to be able to prove the length of the loan, i.e., when was he suppose to pay you back? If unclear, he could argue, with some promise, that yes, he might owe you the money, but it's not due yet, so he hasn't breached and you don't have a claim.

As for where you should sue, it would depend on where the contract was made and carried out, in addition to his residence. However, even if Illinois would be a proper venue, you'd have to go to Indiana to enforce any judgment (if you got that far), so it might make more sense to start there in the first place.