Yes, you need to mail the Form 1040X (federal amended tax return), Form 104X (the Colorado amended tax return), Form 1098, and any documentation you were required to attach to your original tax return.
According to the instructions for Form 104X Colorado amended tax return: Attachments: Be sure to refer to the 104 Booklet to see which
attachments are required for your tax situation. You must
attach all required documentation to this return - even
if you attached it to your original return. All attachments
and certifications must be included with the amended return
even if there is no change to that credit or tax attribute. Part year
residents and nonresidents must attach the corrected
Form 104PN. If this amended return is the result of an
adjustment made by the Internal Revenue Service, attach a
copy of the federal revenue agent’s report with supporting
schedules. To expedite your refund, submit a copy of the
federal record of account to support any changes to federal
taxable income (such as a mutual fund, brokerage firm or
credit union) in the United States"
According to the 104 Book: "W-2s and 1099s
When filing a paper return, all W-2s and/or 1099s
that show Colorado income tax withholding must be
stapled to the front of the form where indicated. When
filing an electronic return, attach scanned copies of
all W-2s and/or 1099s that show Colorado income tax
withholding to the e-filed tax return. If you are unable to
attach W-2s and/or 1099s to your e-filed return, submit
through Revenue Online, Colorado.gov/RevenueOnline"
Click the following link for the104 Book: https://www.colorado.gov/pacific/sites/default/files/104Book.pdf
Mail amended tax return, all attachments, and copies of your documents to:
Colorado Department of Revenue, Denver, CO 80261-0005
https://www.colorado.gov/pacific/sites/default/files/104X_2015.pdf
