You can tell which levels have pickups if they have that blue star medallion in them. When you start the level there will be a collector counter down at the bottom right. The collectibles also change shape based on the costume you select. All of the stars are found generally in groups or lines arching off jumps that generally don't require you to go out of your way to get. If you have to switch lanes make sure you stick with the ones that have the collectibles. Take it slow so you can collect them all and if you miss a couple you can always restart at a checkpoint by pressing . The very first level that you play in career "Joe Danger Returns" has a collectible star in it.