You will report the transaction using the "Stocks, Mutual Funds, Bonds, Other" interview and tell TurboTax that you didn't receive a 1099-B. Form 8949 and Schedule D will be included in your income tax return.
"Do I have to pay tax in US also if I already paid tax in India."
Maybe, maybe not. This is one of those "it depends" situations. The appropriate interview here is "Foreign Taxes" under the "Deductions and Credits" area of TurboTax. The foreign taxes paid will be reported on Form 1116.
"what documents are needed for US tax filing"
If you're speaking about documents outside of the IRS's Form and Schedules, something that needs to be sent in with your income tax return, then the answer is "nothing." Keep every bit of documentation you receive, preferably attached to the paper copy of your income tax return that you print for your own records.
