I had to do this all by Hand - no video so sorry if you get lost.
I found 6 Artifact locations so far. - unknown what is in which as I would need to not be in spectator mode for that. I just did Spectator mode to quickly get the screen shots of where I found each one.

Map With Key for Cave Locations
https://drive.google.com/open?id=0B9fuDUNm2CxveUNmQVZXdU93OUE
Some tunnel locations are not exact, hard to read this map, just keep your eyes open.

Entrance Points to the Penguin Cave structure
https://drive.google.com/open?id=0B9fuDUNm2CxvRF9kRHF1NmVlNEk
*note There is a 5th entrance but it leads to exact same area as entrance #2
1st Artifact via Entrance #2 (and back door) recommend bird or grapple
2nd Artifact You can reach easily by going into Entrance #3 (or #4 but is longer) and take a left , follow the wall into another chamber - easy to get lost just hug the wall and eventually you will find a 'Spiral Ramp' that takes you to an Artifact.
3rd Artifact - after the 2nd, jump down and in this big chamber opposite side - hidden room with Artifact
https://drive.google.com/open?id=0B9fuDUNm2CxvTVFxTjVRU21iVW8
https://drive.google.com/open?id=0B9fuDUNm2Cxvc0FJQmhNZDFlTTQ

Penguins are found immediately after #3 Entrance, jump in water, go into door and follow the path, at the fork take a right. No Artifacts down here.. its just Cold.
Take Left Fork for awesom hard to get Base Location - its also Cold

The Tunnel network is complex at first, but you get the hang of it easily.
4th Artifact - Once you find the Main chamber - three tunel entrances merge into one that opens directly next to an Artifact - the other entrance (south western) leads directly to mushroom ramp - from there go right to find 4th artifact

5th artifact is on the Far end of the Same Central Cave that all tunnels lead to - hug the wall after decending Mushroom ramp (stay left for easy path) - go through Spider webs (entrance is hard to see) then go right and the artifact will be to the left (far side of bubble after the spider webs)

Come prepared for #5 as it is a looong way to get there on foot. Be wary of Golems I have found a few down there also in tunnels.

#6 is the Sunken Ship just north of the Penguin Cave - easiest to get - watch for sharks and jelly fish

Yeah thanks mate, that would be great

updated my first post - cheers
I can add more photos if needed, but really its kinda self explanatory, just don't get lost in the caves XD