If you mail your return, send any forms with federal or state tax withholdings on them with your tax return.
[(i.e. Form W-2 box 2 = federal withholding and box 17= state withholding)
(Form 1099R box 4 = federal withholding and box 12 = state withholding)].
If you e-filed your return, usually, nothing needs to be sent anywhere (unless requested).
To verify, review
the pdf of your tax return or
the front page of your instructions to
see if anything is listed which must be mailed. See FAQ below: