Yes, you should include the state copy of your W-2 with the return. Also, you include a copy of any 1099 form or IN K-1. Please don't staple these documents to the return, just put them in the envelope along with the return.
Some states (Illinois for example) request that the forms be stapled to the first page of the tax return. It should say on the first page how to submit the forms.
Indiana specifically requests that taxpayers not staple documents to the return.