Do I have to file state taxes in both Illinois and Wisconsin since I worked in both states even though my primary residence is Illinois?

Definitely for Illinois.  Regarding filing a Wisconsin tax return... 

If you are a nonresident or part-year resident of Wisconsin and your Wisconsin gross income (or the combined gross income of you and your spouse) is $2,000 or more, you must file a Form 1NPR, Nonresident and Part-Year Resident Income Tax Return. The Form 1NPR and instructions can be downloaded from our website?.

Gross income means all income (before deducting expenses) reportable to Wisconsin which you received in the form of money, property, or services. It does not include items that are exempt from Wisconsin income tax, such as U.S. government interest.

• For additional filing requirements, please see page 4 of the Form 1NPR instructions.
  

Note: Even if you do not have to file, if you had Wisconsin income tax withheld from your wages or you paid estimated tax, you should file a Wisconsin return since this is the only way to get a refund.

For more detailed information see Publication 122, Tax Information for Part-Year and Nonresidents of Wisconsin. In addition, see the Form 1NPR instructions.

WI and IL have tax reciprocity with regard to W-2 wages.  That means that if your income from WI consisted entirely of W-2 wages, you do not have to file a WI tax return.  That income is taxable only by your home state of IL.

However, you would have to file a non-resident WI return, showing zero WI income, in order to obtain a refund if your employer mistakenly withheld WI taxes.

If you're still working in WI, and your employer is withholding WI taxes, submit this form to your payroll department: https://www.revenue.wi.gov/TaxForms2017through2019/w-220.pdf