Tax Returns are issued directly to your home address on 6 April of each year. HMRC can also issue tax returns part way through the year where they become aware that one is required.
If your previous tax return was submitted online, then you will not receive the actual tax return. HMRC will send you a Notice to Complete a Return (SA316). If you have not previously completed a tax return you should contact your local HMRC office and advise them that you need to be registered under self-assessment explaining why.