For exactly the reason you give about entering the data into the various boxes I say "fill in". I have heard the expression "fill out" but it doesn't really make any sense to me!"To file" has a different meaning. It means to send the form to the Tax Office who will then put your form in their files. To fill in a form just means to write your details in all the boxes
I would say "fill in your tax return" or "fill out your tax return".