First, I want to be clear: pensions and annuities are taxed the same way, so don't let the terminology bother you. so "Where should I enter the pension information" is the same answer as for an annuity - in the 1099-R interview.
Second, "The check keeps on bringing me back to a worksheet. " What is the error that it is showing you? Unfortunately, we cannot see your screen nor your private tax data, so help us help you.