I am still learning how to use coordinate systems and projections, but I hope this basic question will be easy to answer. My goal is to be able to use either QGIS or gvSIG to create a simple county map of Illinois using the base data shapefiles available from the Illinois Natural Resources Geospatial Data Clearinghouse.
I believe I need to use a state plane coordinate system such as NAD83/Illinois (East) or NAD83/Illinois (West) so that the state will look like this:

... but not this:

In QGIS, I assume that best way to get the desired look is by first setting the application's CRS Preferences and the Project Properties CRS to NAD83/Illinois (West) [EPSG code 26972], with "On the Fly" selected, then adding the shapefile. Leaving the "On the fly" option unselected causes problems. Changing the Preferences or Project CRS after adding the shape layer also causes problems.
Are my basic steps and assumptions correct?
If those basic steps are correct, why do the same steps not work in gvSIG? (The Illinois shape is displayed as the undesired "wide" version no matter what I do.)
Added later to illustrate comment on gvSIG:
Here are the dialogs I see after adding the layer:

In case this is relevant, here's the empty Transformations list in gvSIG:

