The first helmet is at the very beginning of the "Vegas In Ruin" chapter in the back of a vehicle. The second helmet is at the beginning of "The Hive" chapter. Turn left after going through the first alien hole to find it. The third helmet is found in the "Blowin' The Dam" chapter. After planting the first bomb and fighting two octopuses, swim to some debris to your left to find it and get the "Bucket Head" trophy.