I want to apply for my kid's ITIN while filing return for Federal, NY and NJ. Do I need to print all three returns and mail to single address?

[DS30]

No, you will only file your federal income tax return with your ITIN filing.

For your federal filing -

•  Click here for more information about Claiming Non-Citizen Spouse and Children On Your Taxes
• leave your children's SSN blank and print a paper copy of your tax return
• skip the error check section as long as your only error is missing SSNs
• mail in your return (you will not be able to efile your tax return so choose "file by mail" in TurboTax)
• apply for Individual Taxpayer Identification Number (ITIN) using Form W-7 (Click ITIN)
• attach a copy of your Form W-7 (along with the necessary supporting documents) to your tax return (For the supporting documents, one option is to get a certified copy of your children's passport which will need to be included with your tax return filing) Click here for IRS website  ITIN - Frequently Asked Questions
• mail your tax return along with your Form W-7 and supporting documents to the IRS. According to the IRS, because you are filing your tax return as an attachment to your (ITIN) application, you should not mail your return to the address listed in the Form 1040, 1040A or 1040EZ instructions. Instead, send your return, Form W-7 and proof of identity and foreign status documents to:
  
       Internal Revenue Service
       Austin Service Center
       ITIN Operation
       P.O. Box 149342
       Austin, TX 78714-9342 
  
  You may also apply using the services of an IRS-authorized Acceptance Agent or visit some key IRS Taxpayer Assistance Center in lieu of mailing your information to the IRS in Austin

• State filings - You will want to file an extension for your state until you receive your ITIN. This is because the application for your ITIN is a federal filing. Most state will not process your return without either a SSN or an ITIN. (However some states will accept state filings with W-7 attachments. You will need to contact your state's Department of Revenue and ask if your state will accept a state tax return with a Form W-7 attached).  

  When the IRS assigns you an ITIN, update your returns (both federal and state) in TurboTax with this new information and then you should be able to e-file your state return.

  Because many states give an automatic extension when you file the federal extension Form 4868, just file a federal extension even if you don't think you will need it for your federal tax return.  But check with your state's Department of Revenue to make sure that your state doesn't have a separate state extension filing.  Here is a link to all State Department of Revenue Contacts (You will need a separate extension for your NY state return.)