I didnt either until I saw its values in the console (F12).Oh, and the game really don't give enough hint on the wanted system. Didn't know that exist until now and that I can lower it through the gang
I think Gloves and such lower your chance of getting caught but yeah, go to the Gang after donating to them abunch to unlock it has a hideout, or just open the console, type in 'SugarCube.State.active.variables' click the dropdown and look for wanted.