HI, I am from India and have been on F1 since 2006 . I have been filing form 1040EZ ever since.
I just realized that I should have filed 1040NR instead.
Do I go back and amend all the years and put 2009 on extension?
Please help

On F1/OPT you are exempt from residency for 5-years. You must file non-resident tax return Form 1040NR or 1040NR-EZ and Form 8843. Your income is not subject to FICA taxes.
You filed resident tax return for 2008. You may file amended tax return Form 1040X along with properly done non-resident tax return. Pay the tax due. Attach a letter for Waiver of Penalty giving your reasons this happened.
Your U.S. Tax Return: U.S. Tax Filing Requirements for Non-Residents (http://taxipay.blogspot.com/2008/03/us-tax-filing-requirements-for-non.html)