Ravi is quite correct, no cover letter is needed. They process N400 submissions all day, every day. They know exactly what to do. Any cover letter will simply be discarded.
As to your question about tax forms, I recommend IRS transcripts because it reduces the amount of paper you need to send them. Plus, transcripts serve as proof that you filed. Copies of returns just mean that you completed the forms, it doesn't prove that you actually mailed them to IRS. In the end, it's up to you, but I used transcripts and I'm now a US citizen.