L.A. Noire

There are 20 records in the game. None of them is missable and all records are immediately save after you pick it up. I recommend to collect the records in free roam mode, you can enter this mode after you complete a desk (except patrol) from the main menu. Select cases then a complete desk and scroll down to "The streets of L.A.." This is the free roam mode.

Timeline:

If you want you can use the map and the tracker from Rockstar's socialclub.

https://socialclub.rockstargames.com/games/lan/checklist

Under "Records " you can see how many and which record you have already collected. The map from L.A. shows you also the locations but for many collectibles the map is really inaccurate. You should use the map then rather as a clue.

A Note, the numbers on the map are not the same as in my video guide because the they are mixed together on the map (1 is close to 19 as example). I collect in my video from north to south.

Here's the map from the Social Club website with all the records and their locations listed. The map may be a little janky in places but that's because it's stitched together from about 25 separate screenshots.