Yes, you want a local lawyer to handle each case because they will know the DA and the Judges better than an out-of-state attorney.
Good luck. You may want to get some therapy as well for the drug use.
Attorneys are licensed to practice in specific states limiting their ability to cross state lines. Some attorneys are licensed in multiple states and if they are not, there are procedures which would allow an attorney from Mississippi or Tennessee to handle both cases. I would advise you to retain an attorney you feel comfortable and will provide you with your best opportunity for your day in court. This may be a single attorney or multiple attorneys from different states. The potential penalties you are currenly facing are substantial and you need to begin preparing your potential defenses.
Depending on the particulars of your situation, the embezzlement may be handled as a misdemeanor or felony. A misdemeanor charge could carry up to 6 months in jail and/or $1000 fine and a felony, depending on how you are charged, could carry up to 10 years in prison and/or a $10,000 fine. The determining factor as to whether this is a misdemeanor or felony is based on the value of goods embezzled. Anything over $500 is considered a felony.