As mentioned above, you will need a desktop product for each year.   Past-year returns cannot be efiled.  They have to be printed and mailed.

You should prepare the 2014 return first, so you can then transfer the info into the 2015 return.

It is recommended to mail the returns separately in their own envelope.   You may wish to mail with a method that includes tracking such as Priority Mail or certified return receipt, so you'll know if/when the IRS receives them.