I followed this guide and used a New Game + Save game when I missed three trophies on my first playthrough. For some reason, it didn't unlock the Historian, Tonic Collector and Dealt with Every Little Sister trophies. I don't know if it was because I tried to do it on a New Game plus file, so I advise using the guide and trying to get these trophies on your first or second playthroughs, without any New Game plus data.
Couldn't find a decent printable list without all the locations and what not so I created one. This is simply a checklist to aid you in keeping track of what you've found so far. Bioshock Audio Diaries Checklist