James:
Check with an attorney group in the state you want to incorporate in. You may also have, in your area, a business group who can steer you in the right direction; they will help you in how to set it up. Most states, are easy enough to set up on your own via their online services.
YOu are correct in setting it up in another corporation first for privacy but I do not think all states allow this.
Please come visit us on the Entrepreneural site for more info. Here is a link (also found in my signature line):
Nurse Entrepreneur Forum
Please note the other links in my signature line and let me know if you need anything else.
Happy posting.