Yes, you have to attach your W-2 forms and any 1099-R forms that have federal tax withheld (in box 4). When you print your tax return TurboTax will print a page of filing instructions showing what you have to mail and the address to mail it to. The federal and state tax returns have to be mailed to different addresses.
Don't forget to sign the tax return. Send it by certified mail with a return receipt so that you get tracking and confirmation of delivery.
