Some people still come around asking this, so here's my (mostly spoiler free) guide.

Red Doll: It's located in the basement of Father Grigori's house, but you'll need a key. Find the yellow sewage-plant type facility in the junkyard, which is hidden behind a vent. In the very back they'll be an office. Start hitting the floor behind the desk with your crowbar- one of the floor tiles there is breakable. Retrieve the key and head back to the Monk house.
Blue Doll: The most complicated doll to get. First, you'll need to kill at least two people in the town. Anybody with a yellow Breen poster will work. It doesn't matter how you kill them. Then you'll need to become mayor. If you go to sleep in your bedroom and wake up, there's a 1/4 chance the town will begin an "election day". Once you've gone to the town hall and won, press the BLUE button on your new desk. This will unlock the prison two floors beneath you. Be careful not to go into Joe's cell. You'll find the blue doll in the cell at the very end.
Yellow Doll: Found at the bottom of the lake near the beach.
Green Doll: Found in the junkyard, on a small island in a lake of slime.

Once you have all 4 dolls, assemble them in the hospital on the first floor of the government building.