My recommendation is to continue with the same strategy, think ahead and envision a few Police stations and where these will eventually, and select one of those locations as a good starting point to plop a Police building.
You'll likely only have enough Simoleans for a Police HQ, and even ifyou have enough for a Police Headquarters, I'd still go for the HQ as the Police Station as it can be expanded well enough initially to meet your needs well into the game with extra patrol cars and jail cells. You can always plop another if your crime rate starts to soar.
Upgrading your Police Service
You can get by with one Police Station for a while, depending upon other factors in the game such as prosperity and happiness of your sims (are the all employed for example), and your educational service - educated sims are less likely to commit crime, will dictate how quickly you'll need to upgrade your police services.
Once you've added a couple of extra patrol cars and maybe a jail - You'll probably need to expand your jail more quickly if you've opted to not plop a school early on, you'll probably be thinking about adding another Police station or a Police HQ. For the HQ you'll need to Department of Services Upgrade at City Hall
and the ecessary 90,000 Simoleans to pay for it - not forgetting higher running costs that a HQ brings to your budget. But it does have a positive effect on your City, raising the wealth and happiness of surrounding commercial and residential zones. The HQ has a much larger reach than a normal station and has far more upgrades. If you are at the stage of the game which allows a HQ as your second police location, then go for it. There are various extentions such as a crime prevention unit to help prevent crime from occuring in the first place and ample jail extensions for even to most unruly medium sized City.
Just like in real live, The Old Bill, are important in this game, but just where and when should you plop your Plod? When... I'd wait until the game prompts you with a yellow alert over the Police icon, and where, well Commercial and Residential zones both benefit from having a close by and efficent Police station or Police HQ.