Effectively, you have to choose the 'File by Mail' option on the first page of the 'File a return' workflow. Even though this screen specifically mentions your Federal return only - the choice you make on this page influences how it prepares both your Federal & State returns.
So if you're like me and want to e-file your Federal return, but mail file your State return -- you need to progress through the 'E-file' option for your Federal return, while choosing to not e-file your State return now, and proceed all the way through to the end where your Federal return (only) is completely e-file'd.
Then, go back to the beginning of this section again, this time selecting 'File by mail' on the screen asking about your Federal return. On the next page, it will give you the option to file your State return by mail (as well as prompting to file your Federal return via mail). If you continue to the next step, it wants to walk through filing your Federal return by mail first (even though it was already e-filed) - so you can just jump straight to the section of printing/saving documents, and grab the relevant ones for your State return.
