Oklahoma law lets private employers adopt a hiring preference policy for honorably discharged veterans. The policy has to be written down and applied uniformly to hiring, promotion and retention during a reduction in force, and you have to be registered in the Oklahoma Veterans Registry to claim it.
There is nothing to file with the state. Register in the Oklahoma Veterans Registry, then ask an employer whether they have a written veterans preference policy.
Your discharge documents, which an employer may ask for as proof, and your Oklahoma Veterans Registry registration.