Without knowing about your infrastructure and what resources you have available it is kind of difficult to respond in detail.  I am going to assume that you want to use Workflow to do this as opposed to manually searching for and creating new documents in the client?

If so, a couple of thoughts in addition to Miruna's feedback;

I would assume that you want to create a 'tax packet' for each employee, therefore you will need a way to step though a list of employees, grab their EmpID, then do a specific search for matching documents that Miruna suggests and merge or append the appropriate pages.  In order to step through a list of employees the easiest way would be to do a lookup into SQL where those records hopefully exist.  You would use the workflow Query Data or Custom Query activities to do that lookup then step though the resulting recordset, get the specific EmpID, search for all documents where 'EMP ID' = EmpID, step though all of those returned documents and append/merge per Miruna's feedback.

My guess is that you will also need to add some type of search criteria in addition to the EmpID to only pull back tax documents from the appropriate year (2015).

In addition I would assume that you would want the merged pages in some type of order?  ie the W-2's first then the 1095's so you might have to do a couple of searches for each employee.  The first returning the W-2's and the second returning the 1095. 

Finally, I am not sure that I would email the tax packets unless you make allowances to protect any sensitive information contained in the documents (SSN's etc).