So, unfortunately, you have to find all of the collectibles in one play through. If you miss even one, you have to start the whole game completely over. I know, it's horribly designed. I would recommend collecting them during a second play through, on easy. Personally, I did all of the challenges and collectibles on a second run.
Anyways, the following guide does an excellent job of outlining where to find the collectibles: http://www.ign.com/wikis/bionic-commando/Walkthrough_part_2?...
Also, it'll help you get through any parts that might be causing you trouble. I also linked the first video in a Bionic Commando collectible playlist from NextGenWalkthroughs. They often help if the text isn't clear. I know many people, including me, like videos :)
Just some tips:
-Clear out all of the enemies in an area before starting to get the collectibles, they can be very annoying.
-Always check how many area collectibles you have in the select button menu, especially before going on to the next level. If you missed one and moved on, there is no way to go back, except to start the whole game over.
-If one seems really out of reach, check the video. Many of them take a little practice to get the speed and release just right. Stick with it!
Hope this helps :)