No return should be filed until all your forms (w-2, etc) are included in your return. The IRS gets copies of all W-2's, if you are missing one the IRS may delay the processing of your return until they receive all your information.
If you already filed your return and do receive another W-2, you would have to amend your original return to include the new W-2. Do not do anything until your original return has been accepted and fully processed.
You can receive your refund by check, direct deposit, or if you qualify you can get a refund advance before you file your return, after that you cannot change it.
