You can access the Vehicle Thefts list from your Saints Book in your cellphone, there are 30 of them in total, most will show up when you progress on the thefts but to unlock them all you need to play through the story far enough, which is after the mission "Gang Bang". After you've selected one, the GPS will guide you to the disctrict it's in. Go there and drive around a bit and you will soon see a car icon on your minimap, sometimes it has to be a specific location, a harbor for example when you need to find a boat.
The early ones are easy but they tend to get a lot tougher due to the gang/cops chasing you. The golden solution for this problem is to buy the "Remove Cop Notoriety" and the "Remove Gang Notoriety" from the upgrades, it's listed under Gang Abilities. When you've bought it you can use it through the phonebook. You might also gained the "Mayor's Favor" which removes any notoriety. Call it in as soon as you've taken over the vehicle and don't step out of it because the notoriety will come back if you get back in. It takes a little while before you can use it again. GaTechGrad
stated in the comments that you can quit to dashboard in order to remove the cool-down period.Edit
: Many people are reporting that the drawbridges are still up after completing the game, this will make it very tough to bring in the bigger vehicles. It seems like some kind of glitch because the drawbridges should be down after completing the game. madmankevin
had a nice trick though, just use the highway ! It's a longer route but it's safe and works !Minor Spoilers !Note:
There are 2 STAG vehicles you need to bring in. If you already beat the game like me before doing these thefts it's impossible to get the STAG after you because they have disappeared, you are still able to get the 2 STAG vehicles needed though:N-Forcer:
If you have done the "Kill Killbane" ending you will have it in your garage, remember you can always replay this mission through your phone if you did the alternate ending.Condor:
You can get one to spawn in Sunset Park after selecting the theft, the two that are already there don't count.