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...You are all done now but the
escape, as your wanted level is now maxed out.  In order to complete the
mission you have to lose the wanted level and there are a few ways you can
do it.  There should be a new unused helo parked on the helipad of this
police station if the one you flew in is too badly damaged.  Grab it and
take off, high above the ground to avoid the fire from below.  Once again,
if you know where a few police bribes are that you can access quickly
without getting shot down or killed, by all means do so.  The other option
is to do what I did, which takes a little more balls but is much quicker.
Fly over to the marina on the eastern island and land on the northern end of
the marina where the PCJ spawns.  The cops tend to stick to the roads when
they are after you unless they actually chase you into an offroad situation,
so if you approach the marina from the water, there won't be any police
around the PCJ.  Get out of the helo quickly and hop on the PCJ.  Take the
path that is behind you up to the street and check your map to quickly dash
over to the Pay N Spray that is just around the block.  Most of the time
you'll be in the Pay N Spray before the police ever figure out where you
are.  Wanted level gone, mission over.