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The state that is being referred to are the mental states. Since each moment of mind, is influenced by the immediate past moment directly and past moments indirectly; influences the next immediate moment directly and the future moments indirectly and that we want happiness and not suffering; it is being asserted that one should have a happy mental state. Of course, happy mental state as resultant state is achieved by certain causal mental states. The majority of the entire corpus of teachings is about this transformation of the mind. To be prepared for Bardo for the mere sake of it is of course harmful and to be avoided. Such distinctions (like Bardo etc.) have a specific role. What makes the last moment of mind of this life important than other moments of mind of this life is that the nature of the last moment directly impacts the next birth in a significant way.