I just bought a trailer out of state private party and have also done a car private party as well since I posted.
In the case of a private party, you do not pay sales tax to them. You pay sales tax when you register.
In the case of a dealer, if they ship it, you do not pay the dealer any sales tax, again, you pay at registration. If you pick it up at the dealer, typically they pay money to the state where you will register. You will need a formal document that states where/how the dealer paid this tax in order to avoid it when you register.
If you are law abiding, there is know way around it that I am aware of.