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In Screen 1 on the left just add state. I think what you are asking for is called a Slip Sheet and you can either manually print them form the Forms view, or add them to Items to Print in the Setup. The filing address will also show in the client letter. There is an REP fee for each additional state.
After you add the state, when you go to Forms view you will be informed of the REP and offered a way to add that state return to your computer for processing.