A COMPLETE guide of all 83 collectibles can be found HERE
The collectibles, including 64 gold items, are found within the 8 story related chapters. Upon picking up the last collectible, you will be rewarded the achievement(s).
You can replay chapters at any point, 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 or THIS PLAYLIST
which is the beginning to the collectibles guide: