If you are filing by mail, your federal and state returns do NOT go to the same address, if that is what you are asking. They get mailed in separate envelopes to separate addresses. Federal goes to the IRS, and your state return goes to an address within your own state When you print out your returns, they will print with mailing instructions and the addresses will be in those instructions.
When you mail a tax return, you need to attach any documents showing tax withheld, such as your W-2’s or any 1099’s. Use a mailing service that will track it, such as UPS or certified mail so you will know the IRS received the return.