Collecting 6 of them is required for obtaining one of the endings, however there are more than 6 available to collect.
To collect a camera cap, hold right mouse button and press Q on each cap you find.

You can find the first one just after you meet with the divine entity and select your pact.

Second cap you'll encounter is hanging from a tree in the area you unlock with Wendigo's help.

Next one is obtainable after you go down the staircase and fall onto a bunch of barrels.

The fourth cap is hidden hanging on a cable behind the generator building, where you need to insert a battery.

Next one is located above the entrance to the polka dot room.

The sixth, or fifth cap (depends on which path you choose to explore first) is in one of the rooms on the 1st floor of the Wendigo's hideout building.
Note that you can only collect the cap from the left side of shown structure, when the camera angle moves.

Just like the first one, it's quite straightforward - you encounter it by progressing. Pretty sure you can't miss it.

Next one is tricky. After you navigate through the black void area with circles, go through the door. Diizi's method: go to the end of the path, run toward the top of the next platform. Stand next to the next platform's top end, walk up right. Grab the health pills, grab the red lens cap, and for some reason, you can press Q to pick up ammo for once on the next platform.

(video provided by @Diizi, chopped due to the file size)

The final camera cap is hanging from the cable car you use during the last stretch of the game.

Collecting blue caps unlocks bonus content such as new game modes, character skins and challenges. (big thanks to @Diizi for helping me with this part!)
The following list is sorted by unlock type, NOT by order you encounter them in game.

Challenge #1 cap is obtained during your way to the courtyard. While in shown corridor, just move your camera slightly to the right.

There are two challenge #2 caps for some reason. As far as I know you only need to collect one of them to unlock the challenge. The first one is obtainable after you defeat Tomaro , and walk back to the main school area. The second one is hanging under a generator building in the area you reach after cave maze.

You can get this one in the area with tables where you reunite with your trusty baseball bat. Next to the save point just move the camera up and you'll find it.

The fourth one is pretty much unmissable. It's located just at the end of the game during the first person mode part in flooded area.

It's probably going to be the first blue cap you find. After you choose your pact with divine entity and get back to the main school area, it can be found hanging in a hallway.

When Tomaro asks you to go look for some food, after going down the stairs from her hideout, instead of heading up, go to the right. You should find yourself in an area with a swimming pool. The cap is located just above it.

The blue cap unlocking Jasmine character skin is obtainable in the room you unlock by finding a mahjong tile (main storyline, difficult to miss).

This blue cap can be collected during your quest for finding two journal pieces. In order to get it, you have to progress through the "one way" door. After you jump down the elevator, just proceed down the big structure normally. At the bottom where you find a key, move your camera down and the cap will be hanging from the bridge.

Unlocking Wendigo is tedious without having any instructions. I've been lost in the caves for way too long so I hope this guide will save you some time. As mentioned before, it's located in the dark cave maze. When you enter this area take the first turn left and then go down. Try hugging the wall until your camera angle switches once again and when in the area shown on the picture, move the camera to the right.

Edit: apparently, after the updates Wendigo skin cap is located right at the entrance. (needs verifying)

Edit2: it's quite possible that the cave area has a number of possible layouts (players report to have encountered both variations). If anyone is willing to do some research I would greatly appreciate it since I haven't got much time lately to play the game.

The cap is obtainable in the endgame when you are chased by the spike wall trap , during the part when you switch your POV onto the white ball things. Just when your camera switches for the first time, look at your left and the cap should be there.


(screenshot provided by @Diizi)

If you notice you're missing one skin, don't worry. The last one is not obtainable through collecting a blue cap. In order to unlock it you have to get every ending in the game and you have to spare Wendigo at the end of the B ending playthrough.

Thank you so much for using my guide and I hope you found it helpful!
On a final note, I would like to thank Diizi and Fænrir for contributing to this guide by helping with the research and correcting some mistakes:)