You get preference when the state, a county, a town or a district hires for public works construction, and when a contractor or subcontractor hires for that work. Veterans with a service-connected disability are preferred first.
There is nothing to file with the state. Tell the hiring contractor or public body that you are claiming the veterans preference for public works construction and show your discharge paperwork.
Your DD214 or other discharge documentation, and your VA rating letter if you are a disabled veteran.