Just finished my 1040 return and e-filing. At no time was I asked to attach my W2. Should that be done separately? The return is already filed.

Did you enter your W-2 on the tax return you just filed?  

When you e-file, you don't have to mail in anything separately as the electronic tax return has everything included.   You enter all of your documents and then submit them for e-filing.   If you e-filed without including all of your documents or w-2s, you will need to amend the return to include the missing documents.   If the tax return gets rejected, you can add them before you re-submit.   But if your return is accepted without your W-2 information, wait for the IRS to process the return and then file the amendment to add the W-2.