Police Station Towers are buildings found in most major faction cities. Find them by looking for signs posted near the door, or by clicking on the building and checking the name.
In Police Stations, players are able to turn in bounties by imprisoning the bounty yourself in one of the cages, talking to the Police Chief, Hundred Guardian, or Inquisitor usually standing behind a table. If you talk and give bounties to the chief, they'll take them to the second floor and placed in one of the many cells, with the prisoner's weapon stored in one of the nearby containers, which are also available to buy from the Chief for a huge 75% discount (better to take their equipment before you turn them in). However, dead bounties will only net you half the reward.
Dead or alive, most bounties will raise the relation with the faction by 2 points, but be warned, this might happen only if if you take them the Chief directly, not imprison the bounty yourself.
If the cells are full, you can still turn in bounties to the Chief. They'll take them from you if they aren't carrying someone else, but you'll still receive the bounty and increased relations even if their hands are occupied.
There are training dummies here that can be used. The residents (unless allied) will however not approve and berate the player for doing so.
The residents work in shifts, half the Police will be out patrolling the town, while the other will stay inside the station, using the beds or dummies.