Things may be a bit different where you live. In general, it does no good to contact the Police to get a gun back, they aren't the ones that do it. You would need to contact your DA and have him sign a "release of evidence" type form. Take that to the Police and they release the gun, courts don't have anything to do with it (at least they don't here).
Our Dept releases handguns on a pretty regular basis. We are also required, by Dept SOP, to keep them in good condition while in our care. But once they get handed over to the DA's Office, good luck.
And yes, you should always get a receipt for ANY property taken by the Police. They MUST give you one.
Oh BTW, I've never seen a gun "wind up in someone's collection" in over twenty years in law enforcement. Stealing evidence is bad ju-ju. I have seen some ordered (by the court) destroyed and some given, though not to often (again by court order) to the PD for use. By far, most are returned to the rightful owner if possible. I will admit though, ours is not a large Dept and we have the manpower and time to give these type of matters more attention.