At the start of the chapter, there is a collectible above the entrance, on the left side. Go up the stairs to the second floor and make your way around to the left side to nab it.
To power the elevator, you need to find the power button in the station. In the office next to office that has the power button, there is a whiteboard hanging on the wall. Shoot it and the collectible will be in a hole behind it.
When you drop down the elevator shaft, walk out to the corridor and in the adjoining elevator will be the next collectible through the partially open doors.
After opening the cells and releasing Nikki, the cell at the far end has a poster hanging on the wall. In a Shawshank Redemption style, shoot the poster and it will reveal a hole in the wall. Toss your head through and it will lead you to an office where the collectible will be sitting.
When you enter the subway station and climb the stairs to the second floor, above the control room where you need to turn on the power, the collectible will be above the room. Toss your head up there and you will get the collectible.
You will eventually come to a pipe opening that you need to roll your head into and it will lead to a room with gas pipes. After the upcoming explosion, you will need to toss your head into the pipe opening across from the pipe that you exited out from. When you enter it, roll down a little and the collectible will be there.
Once you pass the train station and go through the underground where you first meet the missile launcher demon, the collectible will be in the ceiling about half way down the corridor. Hop on the train car there and toss your head up to snag it.
After the underground corridor, you will head up the stairs to where there will be two subways that come driving through the tunnel. After a few enemies appear, some blade demons will come through a hole in the wall to the left of the entrance you entered from. Go into the opening in the wall the demons made to grab the collectible, but make sure you grab it before heading too far down the tunnel. If you do go down too far, two subways will crash and block the opening which will not allow you to get the collectible.
After passing the crashed trains you will come to a couple more trains that have fire around them. Go through the train cars and look for a room on the left near the end of the cars. There will be a collectible in the room there behind a pile of garbage.
For this last collectible of the Police Station, you will enter the subway junction and need to go to the top floor of the left side. There will be an office that the collectible is inside, but to get it you will need to go to the floor above and look for the red toolbox. Behind the toolbox will be a vent opening that will allow you to roll through to the office below and grab the collectible.