Chuck, I think it was a little of both. Captain Flournoy's Desha County company went to the 7th Kentucky, apparently because of the close pre-war ties many of the county's planters had with Kentucky. However, in most cases the companies were merely assigned to whatever regiment was being organized at the time, e.g., the south Arkansas companies which were assigned to the 40th Tennessee Infantry. Although it was not a common practice, even fairly late in the war it continued, e.g., Captain Capers' Ashley (County) Rangers being assigned to the 13th Battalion Louisiana Cavalry.
So far, I've found Arkansas companies serving in regiments from Kentucky, Louisiana, Mississippi, Missouri, Tennessee and Texas (this does not include Arkansas artillery batteries temporarily assigned to artillery battalions from other states -- which is a different situation).