Gallup has been polling people on their affiliation for years: see here.

The only agencies that know for sure are the state Election Commissions. Gallup polls and others are secondary sources that are reporting anecdotal, post-facto responses.

Of course, in most states candidates can purchase voter names (mailing list of all republicans in Ohio, for example) but then someone would have to do a lot of number crunching to pull out real numbers.