Oh **** yes.
Get as near as you can to the police station without being shot. If you are within throwing distance of it, keep the TNT for later - it could be useful - and lob two of the doughnuts into the station. If there is still some station left at the end of that then, if there are still living cops throw another doughnut, and if everyone's dead use as little of the TNT as possible.
Edit: oh yeah, and if you're not within throwing distance, then lob the doughnut to the side as a distraction and go in with the TNT.