No, not separately.  Is this for 2019?  Did you already efile the first W2?  Now you have to wait and see if the first efile is accepted by the IRS which won't happen until after Jan 27 when the IRS opens.  So do not enter or change your return yet.  If your first efile is Accepted you will have to amend it to add another W2.  

If you haven't finished filing yet or the IRS Rejects your efile you can just add the new W2 and continue.

You have to include all your W-2s in one tax return. You don't file them separately. You can only file one tax return, for all your income.