Just added a "search" box to the collector's database navigation area. This will only search in the category that you're currently viewing, so if you want to search all items, you'll need to be on the collectors main page. If you only want to search baseball players, navigate to the baseball player collectors section before you try the search.
Here's a look at what the search box looks like:
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If you don't see any results listed, it's most likely because the player/team/set doesn't yet exist in the database. Once you click on one of the results shown, the form should automatically submit, taking you to that specific item's page.