[mothered]

So do I do this at my local police station?

Correct.

The police department, be It the FBI, DEA, local or state, are all law enforcement agencies.

Okay, would you recommend using any online services to do this, a police report was just one of the options they gave me.

I've always opted for a police report, and just about every SE succeeded thereafter.

It's simply required by the company's administrative department to move forward with your claim.