In order file your tax return(s) by mail, please review the following links and TurboTax should provide filing instructions: How do I print and mail my return in TurboTax Online? or How do I print a copy of my TurboTax Online return before filing?
If you do not see filing instructions, you should try to include forms and schedules that support the amounts reported on Form 104 and W-2s and/or 1099s that report CO state taxes withheld. You should not need to include worksheets labeled "Keep for your records."
Per CO State 104 Booklet, page 8: "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."