Speak to Harley in Asgard after the Asgard Human Ranch to get the Figurine Book. Once you've filled it, speak to him again to get Genis's Figurine Collector title.
Once you have the Figurine book, bring pellets to Dirk to have him make the figurines.
there are 288 figurines, and they unlock throughout the story but I'm just gonna assume/recommend you wait until you've opened the gate to Vinheim to make everyone's life easier
There are 4 kinds of pellets: Pellets, Fine Pellets, Super Pellets, and Rare Pellets.
a figurine will be made with 1 Pellet, 1 Fine Pellet, OR 1 Super Pellet. some figurines additionally require 1 Rare Pellet
Dirk will waste Rare Pellets if you let him, and he won't return extras.
my recommendation is give him Pellets until he won't make anything new, then Fine and Super Pellets, then move on to Pellets + Rare Pellets, and so on. you can check the number of figurines you have in the Figurine Book and save scum to make sure you don't give him extra pellets
The easiest way to get pellets is stealing them.
for that you want Colette's Item Getter EX Skill, which you get by equipping her with the Sharp-Eyed, Magical, Lucky, and Stat Boost EX Skills (that's one of each level). Colette can steal pellets from all the monsters listed below, and, with the exception Phantom Knight, they also drop the same kind of pellet
also drops fine pellets
Temple of Earth
can spawn with Clay Golem, which drops Super Pellets
Temple of Lightning
doesn't drop, only steals. can spawn with Samael, which drops Fine Pellets