If your state has a sales tax, you are required to collect sales tax and give it to the state on a regular basis. If your county and/or locality has a sales tax, you must collect that as well. So if you live in city X, county Y, and state Z, you will have three sales tax returns to file.
Generally speaking, you are only required to collect sales tax if you have a physical presence (called a nexus) where goods are delivered. If the product is shipped to a location where you do not have a nexus, it is the buyer’s responsibility to file a use tax return for their state or locality if necessary (although the majority of folks do not do this).
You generally have to register with the state or locality and they will let you know how often your returns need to be filed. This usually depends on the quantity of your sales. If your sales are very small you may have to file quarterly or even annually. If sales are high, you may be required to file monthly or even more frequently.