Why wouldn't we find a police station?
We're supposed to act "normal"...

Yes we woke up in someone elses house, but we took nothing eventually, he took something from us.
So he'll won't press charges -> no need to fear the police.

Police has information we need and is supposed to help us. Nothing yet indicates that this world we are in is a whole lot different than the one we are living in (except I'm sorta famous with old ladies for my passion for camels).

So, I vote : find the police, explain and if they'll wont help us whatsoever, get arrested for something very minor so they HAVE to look us up in the system.

Remember, I am the only one so far who has actually done something really good for us so far (making friends with the old lady)...