Along with your MO-1040 you should mail page 1 and page 2 of your Federal tax return, along with any schedules, W-2's and or 1099's.
If you are due a refund, mail to:
Department of Revenue
P.O. Box 500
Jefferson City, MO 65106-0500
For more information: http://dor.mo.gov/contact/personal.php