Searching Site Categories

I want to use Site Categories so that members signing up for a site can select their location from the site categories.

As I'm entering the states and all cities, I'm realizing that this is going to be tricky for users to find their city in the list.

I can get the dropdown to search the first letter, but not three or four letters so that they can more easily find their location.

Is there a way we can modify the dropdown form to allow ajax search or maybe a two step selection where they choose their state (parent category) and then see the list of cities?