Where should I send the documents as proof?

UPDATE: 25/07 

Be sure to have the rent receipts and other relevant document proof with you if you are claiming HRA/Section 80 deductions in the tax return directly. They are not needed at the time of filing, but after your tax return is submitted and processed, the Department may ask you to upload supporting documents on the Income Tax website. 

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Your Income Tax Return is referred to as an annexureless return. This means that no documents or proofs have to be attached along with your tax return. 

The relevant proofs and certificates (like rent receipts, investment proofs statements) are absolutely essential to be obtained, however, those must be kept safely by you in your own records and not required to send to the department.If the Assessing Officer send you a notice or you have to justify them under any circumstance you will need such proofs

Otherwise, all you have to do is file your income tax return online.