Laws have changed a bit in Nevada recently. You now need a work card from the Nevada Private Investigators Licensing Board to mystery shop anywhere in Nevada. Shoppers are still employed by private investigation firms.
I would recommend QSI. They are a good people and you can apply on their website. If you are accepted, they will guide you through the process of applying for the work card.
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www.qsispecialists.com]
I recommend doing the research here before getting started. You have to pay some money up front (there's no getting around it and it's not a scam), so unless you stick with it for a while, it may end up costing you.
You have certain advantages or working in Nevada that make for the additional cost. You will most likely never have to fight for your payment or worry about wacky pay schedules. You will also have your employer (the PI firm) to help out should there be a problem with your shop. The odds of being treated unfairly are much less, and shop payments are generally higher.