Mitt Romney filed his presidential candidacy papers Monday for New Hampshire's first-in-the-nation primary, shortly after picking up the endorsement of Republican Sen. Judd Gregg.

Romney, who is the frontrunner in all Granite State polls, has spent more time and money in the state than any other major Republican candidate. He continues to blanket the state with TV ads and public appearances, holding more than 203 events during his 2008 campaign.

Gregg, New Hampshire's senior senator, joked about the unlikelihood of him backing any politician from the state to the south of New Hampshire.

"If somebody had also said that I was going to endorse a former governor of Massachusetts for president of the United States, I'd say, 'Well I didn't think the Red Sox would win the World Series twice in my lifetime either,'" Gregg said.

In a prepared statement released by the Romney campaign, Gregg said Romney "embodies New Hampshire's values — values that stress government living within its means, lower taxes, a stronger military and stronger families ... Governor Romney is the strong leader we need to lead America forward."

The endorsement is hardly a surprise. Concord lawyer Tom Rath, one of Gregg's principal political advisers, is a fixture in the Romney campaign, and several of Gregg's aides are on loan to the Romney campaign.

While filing his papers, Romney also took a shot at rival Fred Thompson, suggesting he is a poser on immigration and calling him "a Freddie come lately to the immigration issue."

Not to be outdone, Thompson entered the New Hampshire Statehouse moments later to pay his $1,000 filling fee, and then chided Romney for attacking him on immigration. He suggested Romney flip-flopped after originally supporting President Bush's immigration reform plan. Thompson has panned the president's plan as amnesty for illegal immigrants.

This is only Thompson's third visit to New Hampshire since first exploring a presidential run this summer, but he promised to return often.

"I understand some folks have bought a little TV and radio time here, maybe a gross understatement, and we need to be competitive in that regard," Thompson said.

Rudy Giuliani, the Republican frontrunner in most nationwide polls, has by comparison ramped up his efforts in the state, sensing a two-man race with Romney. He was on the campaign trail just a few miles away from the Statehouse, in the midst of a four-day campaign swing.

Giuliani has spent 24 days campaigning in New Hampshire.

FOX News' Carl Cameron and The Associated Press contributed to this report.