Doing reality TV can be tricky. While Whitney Port, Kelly Cutrone and Roxy Olin of MTV’s “The City” were styling a shoot at Grand Central Terminal for Style212.com for an upcoming episode, police came over to break up a crowd gathered around the cast. “They asked to see a permit, and it turned out that producers were using one too many cameras, so the cops pulled the permit,” says a spy. “Roxy ended up getting into an argument with the cops, and they threatened to throw her in a holding cell . . . Whitney ended up running over and breaking up the argument.” Cutrone’s own Bravo show, “Kell on Earth,” premieres on Feb. 1.