Yes, you should attached all the Form(s) W-2 and W-2G you received to the lower front of your tax return. Also, attach any Forms(s) 1099, 592-B, and 593 showing California income tax withheld.
You can also find specific instructions on assembling and mailing your return on page 11 of the California 540 Booklet link pasted below:
https://www.ftb.ca.gov/forms/2015/15_540ins.pdf
