There are 30 criminal records scattered around Gotham City. You can hunt for them while roaming about the city. There are three maps you can purchase in the Tech Shop for 500 credits each which will reveal the locations of the police files in each of the three districts. Most of these are out in the open and not difficult to acquire. If you get to a collectible location and you can't find it, look up, as there are one or two that you'll need to glide from a taller building (or use The Bat) to obtain.
Police files looks like this: