Hi Dino, good to see you again.
Youll pay the sales tax when you get your final plates in MS. Depending on Illinois law either you will have to get an "in-transit" plate by providing proof of ownership and insurance, or a 30 day temporary tag. Some states the plate follows the owner, not the vehicle -- those are generally states that use in-transit plates -- which are just meant to get the vehicle to its destination after it is purchased, etc -- not good very long, and other states the plate follows the car -- like Ohio and Michigan -- then you get the 30 day temporary tag.
Your best bet is to go to the Illinois dmv website and see what the law is.