Can I get in trouble by the police for doing this in Chicago?

Oh, so you want to be a real-life superhero. Yeah, there are people who do that, with varying degrees of success as far as how they get along with police officers. If you're going to dress up as a superhero and patrol the city, you should probably talk with other real-life superheroes to see what their experiences are like. I don't know what the Chicago police are like, but I can tell you that there are areas of Minneapolis where you'd better not be wearing spandex and a cape, because you'd quickly get arrested.