How do you file a small claim in NYC?

I have an ex who is withholding some of my property after a break up. We’ve set up numerous times for me to get it which have always fallen through due to either him not responding or not showing up to the arranged time and place for me to get it. I want to end this once and for all and have decided to take legal action. Can someone give me some advice on the protocol? Where do I go to file it, a police station or a courthouse? Any advice would be helpful. Thanks