I have never filed tax returns before. This is my first year. Do I have to mail paper returns for both federal and state returns?

You can e-file if you prepare your return in time to meet the e-filing deadline of October 17, 2022 or you can print, sign and mail your returns.   If you miss the October 17 deadline you can only file by mail.  

The first time you file a tax return you can e-file as long as you are at least 16 years old. If you are under 16 you will have to file your first tax return by mail. This only applies to your first tax return. If you have to file by mail this year because you are under 16, you will be able to e-file next year.