You have to mail your Federal return to the IRS. You have to mail your state return to your state tax agency. If you mail your state tax return to the IRS, they will very likely just toss it in the trash. The IRS does not need or want your state tax return. The instructions that print out when you print your returns to file by mail clearly tell you where to mail them. They tell you where to mail your Federal return and they tell you where to mail your state tax return.
