Since you cannot e-file a state return unless your federal return has been e-filed and accepted, you have to print, sign and mail the state return.
When you mail a tax return, you need to attach any documents showing tax withheld, such as your W-2’s or any 1099’s. Use a mailing service that will track it, such as UPS or certified mail so you will know the IRS and/or your state received the return.