Yes, when you mail in your tax return you must attach your W-2's to your Federal & State return. Copy B goes with your Federal return and Copy 1 goes with your State return.
If you selected to receive your refund by direct deposit when you when through the file interview, then you will receive your refund by direct deposit.
Assemble Your Federal Return
Assemble any schedules and forms behind Form 1040 in order of the “Attachment Sequence No.” shown in the upper right corner of the schedule or form. If you have supporting statements, arrange them in the same order as the schedules or forms they support and attach them last. Do not attach correspondence or other items unless required to do so. Attach Forms W-2 and 2439 to the front of Form 1040. If you received a Form W-2c (a corrected Form W-2), attach your original Forms W-2 and any Forms W-2c. Attach Forms W-2G and 1099-R to the front of Form 1040 if tax was withheld.
Your can check your State's website for instructions on how to assemble your State return.