Posted above, but to add, during Sorrow he can be found on the ridge above the Thrax-faced cave mouth near Moirai Crossing. Seems a little random compared to the others. Anger is the weird camp on the castle, Fear is mocking Sythel, Envy is in front of Albrecht's gravestone - all meaningful places. The Thrax cave is spooky but not noticeably significant.
Still missing his Joy location though.