You need your W-2. Only if your statement is titled 'W-2 Wage and Tax Statement', is it ok to use to enter your W-2 data from. A wage statement that is included with your paycheck is not okay to use. The amounts on your last paycheck and on your W-2 are almost always different. Save yourself from having to amend your return and get your W-2.
If you e-file, nothing has to be mailed. If you file by mail, include a copy of your W-2.