I would say "I will come to collect it" is more proper. Context matters a lot, though. In everyday speech, you could say "I will come collect it" and it would sound fine. "Collect" is a pretty specific verb; unless the context demands this specificity you would most likely hear people say something like "I will come to get it," or "I will come to pick it up." In these instances to, in informal spoken language it's not uncommon to hear "I will come get it," or "I will come pick it up."