I've been looking into the other guides here on steam.
Sadly enough I could only find info in other guides about how many collectibles each character needs to find in each episode of the story.
This is something that you can see for yourself if you just open the 'collectibles' screen when you're playing a certain episode; German themed items are for Karl and the British themed ones for Harry.

Why?
As i said in the description; each part of the story (multiple episodes per part) will unlock you extra content (Video) if you get all he collectibles and you've probably also discovered that each completed item has some extra content in the form of a description/background info about the item you just completed. Items typically are divided into 2 to 3 collectibles you need to find / earn.

When?
You don't need to get all the collectibles on your first playthrough, if you want to enjoy the story on your first time playing then you should keep your attention to the story and try to have an experience as good as you can. It's always possible to go after the unfound collectibles after you've finished the game. You can use the 'episodes' screen to select each episode of the game and it'll also tell you how much of the collectibles you found in that episode.
Note: when replaying an episode ALL collectibles will be in the game again, but you'll only need to gather the ones you missed, it's no problem to get collectibles a second time if you want to play safe and 'catch 'm all' in a retake. You'll notice that collectibles gathered in a retake of a single episode will also get 'complete' status in your gamesave of the normal playthrough.

How?
Probably the easiest one; most collectibles are to be found in the map as lightly glowing, hovering letters that are turning around their middle axis. Some collectibles though will need some action; it could be that you'll have to talk to a certain NPC or take some photographs with Harry's camera, or any other task that might not be very clear or a task that gets disabled if you do something else first... Sometimes it's even the story that interferes with getting the collectibles...

Since i didn't write the collectibles guide myself i'm not going to blatantly copy/paste it over here as this would break some rules.
But I can post the direct link to the guide so all of you can just click it and have it open in an seperate tab or window.
Good luck and have fun.

Click here to open the collectibles guide..

.[www.psu.com]