You will need fixers in order to assemble collections. Fixers can be found by exploring locations and solving puzzles. You can also buy fixers at the Store or ask your friends for them by adding them to your Wish List. Some collections require up to four kinds of different fixers before they can be assembled.
Once you have obtained all of the items and fixers you need to assemble a collection the "Combine" button next to that collection will turn green. This means that the collection can be assembled.
To see what you will get as a reward for assembling a collection, go to the "Collections" tab. The rewards will be listed above the collection.