As you travel through South Dakota, finding locations where movies have been filmed is made a bit easier by green highway signs featuring a movie clapboard design. Each sign designates one or several movies that have been filmed in that general area.
I was part of the crew that chose the locations for the signs and it was an interesting process. Because many sites were on private property or not near a main highway, the signs were located within a general area that the most traffic would pass. They also had to fall within state and federal regulations for signage, so compromises were made in many cases.
You will find signs for "Dances With Wolves" on the outskirts of Pierre even though the main filming was miles from town. The "Hidalgo" sign above and others for "Crazy Horse" surround Hot Springs. Keep an eye out for others throughout the state. They may not pinpoint an exact filming spot, but they will alert you that you are close.