You can file FIR at one police station
The Union Ministry of Home Affairs vide communication February 6, 2014, while placing reliance on the dictum of the Supreme Court in Lalita Kumar v. State of UP, inter alia directed registration of FIR irrespective of territorial jurisdiction through Zero FIR. It had advised that
when it becomes apparent that even if the offence has been committed outside the jurisdiction of the police station, Zero FIR would be registered and the FIR will then be transferred to the appropriate police station as per Section 170 of CrPC."