I do not yet have the W-2's to attach to the state returns for Illinois. I am required to mail them in. Do I need to file an extension? If so how do I do that?

You are granted an automatic 6-month extension to file your income tax return. You do not need to file an application to obtain this automatic extension. However, this extension does not apply to the due date for paying your tax. You should file Form IL-505-I, Automatic Extension Payment for Individuals, to pay any tax you owe in order to avoid penalty and interest on tax not paid by the original due date of your return.

My problem was solved. I had discovered that payroll was able to issue a downloadable W2 and that Illinois accepts paper copies. I printed the W2 and mailed my return to the Illinois department of revenue. No need for an extension to be filed.