You can legally walk into a police station and film the inside of the lobby portion and even film the workers behind the counter at the police station.
But you cannot film anything beyond that point such as in the jail portion of the police station due to the inmates right to privacy.
So as long as you're only filming the inside of the lobby of the police station then you're legal to do so.
You can also film the outside of the police station legally as well and nobody can stop you from doing so.