I found the caches myself using the guide on xbox360achievements.com, but added some more details and removed some spoilers:
1. The first cache is located at the end of the first chapter. When you have to swim under water through a tunnel for the first time, it is right before the tunnel, on the left hand side under water.
2. The rest of the caches are located in the second chapter. When you leave with the vortigaunt, the second cache is located in the wall in the first ant lion tunnel you go through.
3. After the second cache there will be a fight with acid lions, the third cache is in the tunnel right after this fight.
4. After the third cache there will be another fight with acid lions, the fourth cache is high up in the wall in the tunnel right after this fight.
5. At the end of the same tunnel, right before you fall back into the mine, the fifth cache is located in the ceiling.
6. The final four caches are located at the end of the second chapter, in the room with the elevator that brings you back to the other vortigaunts. The sixth is located in the wall right of the entrance.
7. The seventh cache is located in the same wall a bit more to the left, behind the old water boiler.
8. The eighth cache is located in the ceiling above the tracks.
9. The ninth cache is also located in the ceiling, but this time above the pool with the broken engine.