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A W-4 is the document you give to your employer to tell them how much tax to withhold from your paychecks. It only goes to your employer---nowhere else. When you prepare your tax return, you enter information from the W-2 that your employer gives to you at the beginning of the tax season---usually by the end of January. If you e-file, you do not have to mail anything. If you file your return by mail, you have to attach a copy of your W-2 to the Form 1040 that you send in to the IRS.
This is what a W-4 looks like:
https://www.irs.gov/pub/irs-pdf/fw4.pdf
This explains a W-2:
https://turbotax.intuit.com/tax-tips/irs-tax-forms/what-is-a-w-2-form/L6VJbqWl5
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