You do not receive a W-2 for Social Security benefits. They mail you a SSA1099 in January every year.
Go to Federal> Wages & Income>>Retirement Plans and Social Security (SSA1099 and 1099RRB) to enter your SSA1099.
If you cannot find your SSA1099:
GET SSA1099
https://www.ssa.gov/faqs/en/questions/KA-01723.html
If Social Security was your ONLY income you are not required to file a tax return. If you have other income besides the Social Security you might need to file.
Who has to file?
http://www.irs.gov/uac/Do-I-Need-to-File-a-Tax-Return%3F