A COMPLETE guide of all 132 collectibles can be found HERE
The collectibles, including 50 gold items, are found within the 16 story related chapters. Upon picking up the last collectible, you will be rewarded the achievement(s). You'll also need to crack the Enigma Codes after collecting them.
You can replay chapters at any points, and also quit to the main menu after picking one up as it saves immediately.
Lastly, use the menu to check "Collectibles" where it'll show your collectibles for each chapter so you can easily keep progress.
Alternatively, please see this video which is the beginning to the collectibles guide video playlist: