I found the answer on their website.
In person: The documents can be collected in person from the Consulate (455 N Cityfront Plaza Drive, NBC Tower Bldg, Suite # 850, Chicago 60611) by the applicant (or through a duly authorized representative) on any working day strictly between 11.30am. to 12.30 pm. Please ensure to bring the following:
(i) A print out of the status page (indicating the date of arrival of OCI document in the Consulate) or copy of acknowledgement.
(ii) Applicant’s US/foreign passport indicated in his/her application.
(iii) Indian Passport and/or PIO card if still valid. After cancellation the Indian Passport and/or PIO card is returned to the applicant.