You definitely have to upgrade some of the parts such as the shoes. He came with Hot Toys military boots with the real laces. Mills wore lace up shoes in the movie. Also the hands were a needing a change as well. The tie should be black too but the one that came with the figure is nice as well.
A badge did not come with the figure although some have used an LAPD badge. The movie took place in either Chicago or Detroit as there is an elevated train in several scenes.
Lastly, making the bandage for the left arm is relatively easy. Just pick up some fine gauze and with a bit of a mixture of plaster and water you can give David that broken arm look.