No. You do not need to send in ALL your paperwork.
According to IRS, the immigration authority generally asks for the tax return which is equivalent to the format /version of tax return transcript from IRS. Per IRS, the Tax Return Transcript shows most line items from your tax return (Form 1040, 1040A or 1040EZ) as it was originally filed, including any accompanying forms and schedules. For example, if you claim education credit, in addition to the form 1040, you will also attach a form 8863 Education Credits which supports the amounts shown on the form 1040.
https://www.irs.gov/taxtopics/tc156.html?portlet=1