Yes, attach a copy of your W-2(s), 1099-R(s) and any other tax documents where you had federal & state withholding.
Assemble your returns and attachments. Do not staple your check to your return. A sequence number is printed in the upper-right corner of the following Michigan forms to help you assemble them in the correct order behind your MI-1040:
• Additions and Subtractions (Schedule 1)
• Nonresident and Part-Year Resident (Schedule NR)
Farmland Preservation Tax Credit (MI-1040CR-5)
• Schedule of Taxes and Allocation to Each Agreement
(Schedule CR-5)
• Property Tax Credit (MI-1040CR or MI-1040CR-2)
• Schedule of Apportionment (MI-1040H)
• Underpayment of Estimated Income Tax (MI-2210) • Withholding Tax Schedule (Schedule W)
• Adjustments of Capital Gains and Losses (MI-1040D)
• Adjustments of Gains and Losses From Sales of Business Property (MI-4797) • Voluntary Contributions Schedule (4642)
• Sales and Other Dispositions of Capital Assets (MI-8949)
• Pension Schedule (4884) • Pension Continuation Schedule (4973)
• Married Filing Separately and Divorced or Separated Claimants Schedule (5049)
• Michigan Amended Return Explanation of Changes (Schedule AMD) • Michigan Excess Business Loss (MI-461)
• Michigan Excess Business Loss Continuation Schedule (Form 5606)
• Federal Schedules (see Table 3, page 59) If you are also filing a Home Heating Credit Claim (MI-1040CR-7), do not attach it to your return; fold it and leave it loose in the envelope.
https://www.michigan.gov/documents/taxes/MI-1040_Book_no_forms_642357_7.pdf
{Edited 4/06/19 } 8:17am]
Why doesn't Turbo Tax instruct me to do this in the filing instructions?
From michigan.gov: "What should I do if I did not include my Schedule W or W-2s when I filed my paper return?
There is no action you need to take at this time. If additional information is needed, you will be contacted by mail. In the future, when preparing your return, enter your W-2, 1099 and/or MI-4919 information on the Schedule W . A Schedule W is required with each return."