We've already received our 2018 Federal return. I'm trying to do the State now, and there is no option to file them. I paid to have both Federal and State done.

Please explain what you mean by "no option to file them."

Are you asking how to open your return back up so you can finish preparing the state return and efile it?

Did you file the Federal return by efile or mail?

If you've already e-filed your Federal return but did not e-file your state return at the same time, you'll need to print and mail your State return. The following instructions explain how to file by mail. How to Print and Mail a return 

A state return can still be efiled by itself after the Federal return IF the Federal return was efiled previously and accepted.

If the Federal return was filed by mail, however, then the State return has to be mailed as well.

We can tell the user how to open the return back up to finish and file the State return, which may be able to be efiled if the Federal return was efiled.  But user first needs to answer the questions I asked in my comment above so we can know how he/she originally filed the Federal.