Should not have to...but save all your W-2 forms and tax documents in a folder.
States do come back later and randomly check-up on tax documents, even if nothing is wrong.
Occasionally a state tax withholding value seems wrong to them, and they ask to see the official copy of your W-2...if not more....never throw those away.
____________*Answers are correct to the best of my knowledge when posted, but should not be considered to be legal or official tax advice.*