I finished my collection yesterday. Not only do you get a little something for finishing one set, but after you get all four sets finished you get an even better something. I would say here what they are, but that would be a spoiler and I don't want to ruin this thread. (you can PM me if you are dying to know what it is.)

Here are some things that I found to be helpful. If you have exploration 3, the collectibles can be seen from the -m-ap page. But the program will not generate a collectible if you are looking at the -m-ap page, only if you are on the regular view.

So, if you have exploration 3, every 30 seconds or so, check your -m-ap page to see if there are any collectibles to be had.

Good Luck!