You could start by going into the county and ask them if they will do it since your local one refuses, explain politely the situation and if they won't, as they probably won't, ask them if perhaps someone could call them and explain the law, since the local PD doesn't appear to know anything about anything firearms related.
Your next venue would be the city council, or the directly to the city attorney. Explain your case, explain you have been denied a right given to you under the state constitution and would like the matter rectified right away. Keep pushing, keep moving up the ladder. If you don't get anywhere and don't wish to sue or go the lawyer route, I would contact the MOC regional coordinator for your area and ask them if they or someone else in the organization might accompany you down to the police station to explain the law.
This is pretty common sense stuff, I am amazed they did not already handle this for you in a timely manner.