Relevance. Rating Newest Oldest. Best Answer: you will send the federal copy of your w2 with your federal return and the state copy with your state return which should leave you with 2 copies for your records. You can see which copies are which by looking at the bottom of the w2 and it should say.Now the state tax return usually shows an address of where to mail the return, but the federal never does. Depending on where you live you will have a different address from any other state.ou can see which copies are which by looking at the bottom of the w2 and it should say. Now the state tax return usually shows an address of where to mail the return, but the federal never does. Depending on where you live you will have a different address from any other state.