When filing a paper filed return, generally they do not like it when the return is stapled. However, you should staple the W-2s to the form. Along the left margin of the 1040, it will say something like staple your W-2 here. I generally at least paperclip everything together so that nothing gets lost.
You do not need to include a cover letter, most likely it will not even be read. Just include the 1040 and any schedules or attachments and mail it to the address provided.
