Get an address in the area that you want to relocate to and a cell phone with that area code.  The issue is that with the exception of "hot" skills and executives companies rarely will consider paying for relocation anymore.  If you are not already local it is very unlikely that you will even get an opportunity to tell them you don't need their financial #### in the process.  With rare exceptions there are already plenty of local candidates, why should they look outside of their immediate area?