It's a huge problem to transport them alive across state lines. It's a federal ban which makes transporting live SHs across state lines felony trafficking. You're more than welcome to keep any caught snakehead provided the head is immediately removed upon capture. Little side note, catch & release is also against the law where SHs are concerned. Every caught SH, by law, must have it's head removed.
Here is an article on snakeheads in NJ: http://www.onthewater.com/new-jersey-snakeheads/