Gygax wrote three novels featuring Magister Setne Imhotep, which were all reprinted by Paizo these last few years. It could be good inspiration how a mage might be a detective.
One thing to remember though is that watch or police in a classic fantasy world are not like Modern Cops--for instance there is not usually such a thing as "gun control", as every gentry usually can walk around with a weapon, even free peasants might have daggers. And civil rights might be a lot more restricted. A lot of police also doubled as espionage. Not to mention how magic might affect investigations.
One thing to remember though is that watch or police in a classic fantasy world are not like Modern Cops--for instance there is not usually such a thing as "gun control", as every gentry usually can walk around with a weapon, even free peasants might have daggers. And civil rights might be a lot more restricted. A lot of police also doubled as espionage. Not to mention how magic might affect investigations.