When filing federal and state together I am going to get everything deposited in my account or I'm still going to be sent a cheque?

How did you request to receive your tax refund in Step 2 of the File section before you filed your tax return?

I think I'm not there yet, I just go an option that says. "Get your money fast by adding your state tax return to your federal return for an additional $39.99$36.99."

What you're seeing has nothing to do with how you receive your refund.  It's just saying it's easier to e-file your state return at the same time you e-file your federal return.  You will still choose how you want to receive your refunds.  You don't receive them together, you get one from the federal and a separate one from the state.