States have the constitutional right but it is an academic question after the Civil War/War between the States.
However, municipal entities derive their powers from the state. As creations of the state, they cannot secede. From a legal standpoint, the state's ultimate weapon is the threat of dissolving the town.
I understand why they would want to secede from a high-tax state...just doubt there is any legal means of doing so short of the state voluntarily ceding the territory to its neighbor.