They do mail it to address on the last filing UNLESS you call or write to them telling them your current address and request your documents and copies you need to you. I did it by phone. Took a while to get through, but it was easy to get done. If you do not reside with a party to a tax return you are still entitled to the info.
You also can sign in to the IRS.Gov site and request transcripts of your taxes. YOU do not have to know the amount of the last tax filing because you simply are asking for your own use. You need to setup a login and password which they will verify by texting you a code, every time you log in.
You can usually get up to 4 years returns immediately at IRS.gov
