I work in Ohio, but live in Indiana. I have multiple Ohio localities because I worked in different cities. Do I need to file Ohio city taxes?

No----if you do not live in Ohio you do not need to file OH local tax returns.  Your employer is (or should be) withholding any local taxes for the cities or localities in which you worked when you worked in OH.  Those local taxes should be in boxes 18, 19 and 20 of your W-2.

But make certain about whether you need to file any sort of local or city tax for the place where you live in Indiana.

Q. Do I need to file Ohio city taxes?

A. No.

The Ohio - Indiana  reciprocity agreement, on state income tax,  does not apply to local city taxes. You are not required to file a local city return, but you are also not entitled to a refund of the city withholding (box19 on your W-2), unless there was an error in the amount. 

Most  IN counties (but not the state)  allow a credit, or partial credit for tax paid to an OH city. That will come up in the IN state interview.