What should I do to collect my item?

This is entirely up to what’s convenient for both you and the Finder.  Remember they’re doing you a favour by returning your item, so as the Owner it’s a good idea to go along with their suggestion.  However, we can’t stress enough that if you’re uncomfortable with the Finder’s suggestion for meeting up to hand back your item, you should ask them to leave it at any police station, and notify you which one it’s at.