You need your W-2.  Only if your statement is titled 'W-2 Wage and Tax Statement', is it ok to use to enter your W-2 data from.  A wage statement that is included with your paycheck is not okay to use.  The amounts on your last paycheck and on your W-2 are almost always different. Save yourself from having to amend your return and get your W-2.  

If you e-file, nothing has to be mailed.  If you file by mail, include a copy of your W-2.