If you chose to request a mail-in ballot but don't want to return it through the mail you can hand-deliver it to your county board of elections, or use a secure ballot drop box location found throughout the state. Find one near you by checking this complete list.
Here is a useful list of web resources about the voting process in the U.S.
NJ Primary Election Information
NJ has a "Semi-Closed" Primary system. This means in order to vote in a Primary election you must declare affiliation with a Political Party to vote in a Primary. Semi-Closed indicates that NJ allows for a registered voter to declare affiliation with a political party up to and including on Primary Voting day at their polling location. Voters currently affiliated with a Political Party can choose to change party affiliation by submitting a party affiliation form. Change of Party Affiliation forms must be completed 55 days prior to the scheduled Primary in NJ.