When you check out at the end, you should select "Mail return" You didn't transmit them (orange button) did yo If you hit the transmit now button (orange button) that would have transmitted them. You would have received an email stating that your return was accepted.
Click here for How do I file my return by mail?
If you need any additional mailing instructions, you can contact your state Department of Revenue you can use this link: How do I contact my state Department of Revenue?
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