There is no penalty for filing late, UNLESS you owe tax (as opposed to getting a refund).
If you do do owe, you file as soon as you can and pay the tax due. The IRS will send you a bill for interest and late penalties (a late filing penalty and a late payment penalty).
You contact your employer for another copy of your W-2. If they are uncooperative, you pay the IRS or Social Security Administration for a copy. For how, see
IRS instructions http://www.irs.gov/taxtopics/tc159.html
Social Security Administration Instructions questionID=3836&hitOffset=258+164+163+75+26+25+15+14&docID=2040
