Seems like your figurines are simply a magnet for others to fidget with. Most likely this is not malicious (except maybe for the missing one). However, depending on your reaction to these things being moved it could also be that an office mate is simply trolling you.
Let's analyze both situations:
You could, for example, mention it to your buddies over lunch that you're having this problem, and that you really don't appreciate having people touch your things, then simply let the word spread around.
Putting up a post-it asking people not to touch them is also a possible solution (you could put it up as you leave, so that it doesn't bother you through-out the day).
If the person/people doing this are not maliciously seeking to annoy you then it will most likely be enough to make it all stop. However, what if it is malicious?
You should analyze your past response to the situation and try to determine whether you've simply suffered in silence, or if you've shown yourself to be very irritated/annoyed.
If someone finds your figurines annoying, or distracting, they could potentially be trying to goad you into simply removing them permanently.
Alternatively, if someone finds your reactions childish (not saying they are, simply playing devil's advocate) then they could simply be entertaining themselves by trolling you.
So then how do you approach the situation if this is the case?
Do Not Go To HR
Having figurines on your desk is not exactly standard in most offices. As long as there's no company policy against them you're fine having them, of course, however a policy could soon be enacted if an office conflict arises over them.
At the end of the day management doesn't want to deal with your issues over the toys you display on your desk. If you go to them and try to make an issue of it then they may decide that removing the figurines altogether is the simplest way to solve the problem.
Additionally, if you complain to HR and they keep sending out communications on your behalf then your colleagues may start to feel that you're becoming a bother, and similarly lose their sympathy for your situation, and approach management to ask that they be gotten rid of.
What I'm getting at is that you want to avoid making a scene about it.
What Now, Then?
Since going to management/HR for such a trivial issue is not really a good idea, you should do what you can to stop this behavior.
Sticking a post-it asking people to stop touching them (as I mentioned above) could work. Another approach is, as you've mentioned, simply taking them down at the end of the day. You could also try gluing them to your monitor, in order to make them difficult to remove.
I do not recommend trying to record your cubicle. First of all, most companies have very strict rules against that sort of thing. Second, it's actually illegal in many countries/places, and it could potentially get you fired.
However. If you really, really, really are dying to know who's messing with your stuff, then you could potentially try to pull that stunt. I'm not advising it, however I will recommend the following: if you do this, do not let anyone know that you're doing it, or that you have done it. You can use the knowledge of who's messing with your figurines to maybe drop some hints to that person that you suspect them, etc., but never ever mention recording in the office, or admit that you've done so.