No. Just like your water bill and electric bill are not on one form.
After you complete your federal return, you are presented the option to complete your state return. Once you have completed them both and you elect to file by mail, you print both the federal return and the state return. Each return will print their own physically separate set of instructions for what documents to include with your mailing, along with where to mail it. Your federal tax return and your state tax return *ARE* *NOT* mailed to the same address. So it's important to read the instructions for each.
