"Do I have to file form 1041 or do I just file it with my 1040?"
The better procedure, in my opinion, would be to file a return based upon, that corresponds with, the taxpayer ID that is shown on your tax reporting statements (e.g., 1099-B).
However, since you were issued an EIN, the IRS will probably be expecting a 1041. Regardless, you most likely qualify to file via Optional Method 2. See https://www.irs.gov/instructions/i1041#idm140433959941904