TurboTax said I needed to print and mail my state and federal returns. I have never done this before. When I create the PDF, it includes no documents for my state return

If TurboTax is indicating that you need to print and mail any forms or you opted to print and mail, then yes, you will need to print and mail that part of your return since TurboTax only assists in e-filing your returns, they do not actually mail them in. Instructions on this will be included in the filing instructions in your return. If you e-filed and there is no instructions that indicate you need to send anything in, then you are good to go.

To view and print Form 1040, you will need to get back into the tax preparation to do this, please follow the instructions below:

•     Log into your TurboTax account that you filed your return from
  

•     Click on My TurboTax at the upper left top of the page

•     Click on My Tax Timeline

•     Look under Some Things You Can Do (below your 2016 return status)

•     Click on Add a State (this is to get in to your return)

•     Once in your return, click on the My Account at the top of the page on the right
  

•     Click on Print Center to view and print your return and filing instructions/payment voucher (select all forms and worksheets)

This section will show the most updated version of everything you've done up to this point and will give you the option to download and print both your Federal and State return's. The instructions included will let you know what to send in and where if necessary, keep an eye out for forms that indicate that a signature is required.
The following link has more information on the IRS website on where to send in your return depending on your State and payment:
https://www.irs.gov/uac/where-to-file-tax-returns-addresses-listed-by-return-type