IRS 9003 & Documents:
Most people tend to play safe by gathering as much supporting documentation as they can for the consular interview. As mentioned before, IRS 9003 is a standard document on the list of "Packet 4" docs.
The form IRS 9003 by itself is fairly easy to prepare (IRS claims you need only 5 mins), and asks you for basic information about our tax (US Federal) filing history for last three years. To "play safe", you should keep:
W2s & related docs (e.g., 1099) for the last three years
Copies of tax returns
Tax transcript provided by IRS - you can obtain these by calling IRS