Remember - don't pause to look for the collectible. The collectible can take a minute or two to appear - if you're paused when it is supposed to appear, it will be just plain lost.

Also, many people advise you to point, so I'll back up Laurence - the chief never points at a collectible. He just points, and sometimes maybe a collectible happens to be in that direction. You'll have to look for it, and it can be anywhere collectibles normally appear. (Which is almost anywhere, for feathers.)