What you've heard is correct not only don't you need to pay US taxes forming a US entity would actually increase your overall tax rate as you'd need to pay taxes at the higher US tax rate and then in Canada personally.

You'll almost certainly want to incorporate in your local province in Canada but probably not earn profits there initially though this depends on your tax bracket as you can end up with double taxation. At some stage you'll be better off keeping the profits in the company at the low small business tax rate and reinvesting it from there so it can compound at a preferred rate rather than taking it personally and having less to invest.

As you grow you may reach a point where it makes sense to move part or all of the company international and gain cost advantages that way.

Feel free to contact me if you'd like to discuss further.