As soon as you've left the Hall of Heroes you're going to take part in a battle with a large group of policemen. I recommend remaining close to the gate. Open a tear containing a sniper rifle, pick up this weapon and then summon the Mosquito to the battlefield. You shouldn't have problems eliminating enemies from a safe distance with the rifle.
Once you've won the battle use the Shock Jockey vigor on an electrical node found near the angel statue. Doing this will unlock access to the maintenance room, allowing you to reach the balconies.
There's a table near the stairs. You'll find 2 lockpicks here, as well as Gear #11 - Head. Search the entire balcony before heading down.
Proceed towards the gondola and attach yourself to the sky-line. Using the sky-line will allow you to get to a lower platform with a police barge docked nearby. Drop down to the platform and eliminate all policemen. You can make this fight easier by summoning a Mechanize Patriot thanks to a tear found on this platform. The construct will be helpful especially in getting rid of enemies equipped with grenade launchers.
Check the back of the platform. A lockpick can be found on the wooden beams under the stairs leading to the upper level.
Get to the upper level. Take some time to find the salts and a tear containing medkits which may prove to be helpful in the upcoming battle.
There's only one more thing to do here and that is to attach yourself to the sky-line to travel to Patriot's Pride Pavilion. A new police squad will be waiting your there and a single Fireman will also be present on the battlefield. Eliminate all enemy units and make sure to examine the Fireman's body to uncover several useful items, including a lockpick.
Once you've reached the Patriot's Pride Pavilion you will encounter a construct armed with a Crank Gun. Destroy the machine and make sure to revisit the "employees only" section of the office. Approach the safe again. You should now have enough lockpicks with you to open the safe and as always you can count on obtaining several hundred silver eagles and a medkit.
Once you've searched all the nearby buildings proceed to the elevator and allow it to transport you back to the Soldier's Field.
You shouldn't focus on starting the gondola right away. It's best to return to the stores found on the promenade, because they're all closed for business. Most of them can be accessed using brute force. The Founder's Books store contains a lockpick and you'll also find plenty of money behind the counter.
The store with toy soldiers has an inactive electrical node. Use the Shock Jockey vigor on this node and you'll be allowed to explore the back of the store.
Search all the interactive containers found at the back of the store. There are also two valuable items in one of the corners of the room - a sniper rifle and Gear #12 - Torso.
Use the sky-lines to get to the hotel's balcony located in the middle of the promenade (between the ice cream shop and the gondola station). Gain access to this building by using the Shock Jockey vigor on the electrical node found near the door.
Open the door and locate a lockpick on a small table near the window.
The second room is a murder scene. You'll also find a lockpick here - it's near a closet behind the corpse.
Check the large bed to find a Voxophone #33. That's not all, because there's also Gear #13 - Feet on a dresser next to the bed. Explore the rest of the room and then head back to the gondola station.
Use the Shock Jockey vigor on an electrical node in order to power up a control panel. Pull the lever to summon the gondola.
Get ready for a new battle, because while you're waiting for the gondola to show up police barges will start arriving at the promenade. Don't forget to use nearby tears to your advantage and to obtain valuable weapons and medical supplies. Focus on eliminating cops with grenade launchers and also watch out for a Motorized Patriot that will arrive with the gondola. As long as you stay on the move you shouldn't have any major problems dealing with the remaining policemen.