Some do, most don't. I personally carry a copy of BobCav's wonderful pamphlet here: http://opencarry.mywowbb.com/forum61/3356.html in my car glove compartment just in case I want to hand a copy to a uninformed cop after an encounter, or to a inquisitive person who's thinking about it. Unfortunately nothing like this has been made for Utah yet, but you could find all of the pertinent laws at sites like handgunlaws.us and packing.org and of course opencarry.org's main page. What you really want to do is find the state code #'s and look that up yourself to make sure they're all current.
Most of your encounters will be a test of your confidence, and knowledge in the laws itself, because if a LEO wants to give you a hard time, no sheet of paper will be sufficient, but a confident attitude and a calm, professional demeanor might be enough to make your case of your completely legal activities.
Good luck, and welcome to the board, you've found a wonderful community of people who are willing to help.