Most states give you time (30 days) to get a tag with the right paperwork. Just be sure to get a signed release from GL with the paperwork, or paid in full invoice and keep it in the vehicle.
You could still get pulled over, and I have with over 30 trailers purchased in multiple states, but the LEO's are mostly just curious, and want to make sure you didn't steal it from a military base and always like to talk about them, so be friendly, courteous, and informative. I have never gotten a ticket with the three times I got pulled over by different agencies. You do need to have some magnetic lights hooked up though, a spare tire is nice, and a set of new bearings are nice, but I rarely go with anything other then a lug wrench and a spare, and a tank of air.