They're located all over the city. The best way that I discovered to find all the film reels is to log in to the Rockstar Social Club. In the L.A. Noire section, there is a checklist where you can track your progress towards 100% completion. At the bottom of that page there is a map of the city, and in the legend in the top right corner of the map, you can click the bottom link to show the film reel locations.
