You can use either state's license (Indiana or KY) when fishing the main body of the river -- even if you are fishing from the other state's bank. Where you get into trouble is the tributaries. If you are fishing up in a creek on the KY side of the river you need a KY license and the same goes for other bordering states.
On the size of jig heads you use -- it is relative to conditions. I always use as light of a jig head as possible keeping it down near the bottom. With the current and depth 1/4 oz would be the norm but you may go heavier or lighter depending on the situation. And you wouldn't use a bobber for sauger. Simply cast the jig out, let it fall down, and "swim" it slowly back along the bottom. The slower the better but this gets back into the weight versus the conditions. Too heavy and you clank bottom constantly or snag or move the jig too fast. Too light and you can't keep it near bottom. I carry 1/16, 1/8, 3/16, 1/4, and 3/8 oz jigs and match to depth, current, and/or wind accordingly.
I will share one last trick on jigs and snags. I make my own jig heads and use standard Eagle claw aberdeen wire hooks size 1 or 2 (mostly). These wire hooks can bend but don't bend easily until being bent the first time. After I tie on a fresh jig head I take my needle nose and grab the hook just behind the barb and bend it partialy straight and then bend it back to form. Using 8# line when I snag the hook (not the head wedged in rocks) many times I can pull and straighten out the hook and save the jig. Just watch your hook point when doing this. It may get messed up where it needs to be resharped or you may not be able to re-use. Finally, remember when pre-bending hooks if you get a large fish on you can't put too much pressure on him or it will straighten the hook. Sauger don't pose much of a problem with that thought but there is no telling what you may stick with a jig fishing in the river.
It's a shame all of this rain has come in. It looks like I may not make it out there this season after all. That's the curse of fall river fishing -- high water (and no time to get away).
Good luck to all,
kc



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