Your first move is to buy a Colt factory Archive letter.
This letter will list everything Colt knows about the gun when it left the factory.
This will include:
The date shipped.
WHO it was shipped to.
How many guns were in that shipment if more than one.
What the finish was.
The barrel length.
The caliber.
Any non-standard or custom ordered features like grips, etc.
If the gun is listed as blued with wood or hard rubber grips, and yours is bright nickel with pearl grips, it was done aftermarket.
Often all the letter will show is shipment to a company or police department, but you never know.
Look under Archive Letters. Cost is about $75.00:
http://www.coltsmfg.com/
The next step would be to see if the Chicago PD has a historical site or museum. Most big departments do. They can probably give you his official service records and possibly other info.
Get on line to the Chicago papers and look into their archives. Most will have online archives, or may offer searches. You'd look for his name or unit, info on the St Valentines Day incident, and info on police corruption. (Probably a LOT of that).
Some papers are out of business. Check with the Chicago library for their archives.
As an interesting aside, I recently read a new book about how a group of officials in Chicago set out to nail Capone, any way they could.
The author offers the very interesting theory that the St Valentines Day killings were NOT done by Capone, but by a criminal and Chicago policemen.
This hood was the man who was caught a couple of years later in possession of the Thompson guns used in the killings.
Here's the theory.
The hood once killed a man by dressing up as a cop and walking up to his door.
A month or so before the killings, a Chicago policeman's son was shot by members of the Moran gang in a speakeasy.
He lived for six weeks. He told this hood who was a relative who it was who shot him.
On the morning of the killings in the garage, Bugs Moran had driven by a short time earlier.
None of the men in the garage looked or dressed anything like Moran, so it's unlikely the killers mistook someone else for Moran.
The author proposes that the hood relative and the son's relatives on the force decided to get even and killed the men they came to kill.
The hood relative simply kept the two Thompson guns used.
Last, contrary to all the movies, Capone had no reason at all to kill Moran. He and Moran were on opposite sides of a big town with no problems with each other or conflicts with each others territory.
At the time, it was a well-known principle of the Chicago police that things would flow nicely as long as you didn't try to harm a police officer or his family.
As they proved on several instances, if you broke that rule, you'd never see the inside of a jail cell.