Geotagged tweets and other forms of social media volunteered geographic information (VGI) are becoming increasingly critical to many applications and scientific studies. An important assumption underlying much of this research is that social media VGI is "local", or that its geotags correspond closely with the general home locations of its contributors. We demonstrate through a study on three separate social media communities (Twitter, Flickr, Swarm) that this localness assumption holds in only about 75% of cases. In addition, we show that the geographic contours of localness follow important sociodemographic trends, with social media in, for instance, rural areas and older areas, being substantially less local in character (when controlling for other demographics). We demonstrate through a case study that failure to account for non-local social media VGI can lead to misrepresentative results in social media VGI-based studies. Finally, we compare the methods for determining localness, finding substantial disagreement in certain cases, and highlight new best practices for social media VGI-based studies and systems.