This is taken straight from the Borderlands GOTY Edition Strategy Guide, so all credit goes to Brady Games.
Let me preface this by saying that I found each Loot Midget exactly where the Strategy Guide said they would be. I don't think they are random, instead I think there are multiple locations where they can be found.
1. Mini-Steve - Inside a red chest in the southeast bandit camp in the Deep Fathoms area.
2. Meat Popsicle - In the Sunken Sea area, get on the freeway and stop underneath the Dahl sign. On your right you will see a set of stairs, walk down and find a fridge around the corner of the small building with Meat Popsicle inside.
3. Truxican Wrestler - Immediately upon entering Lockdown Palace, search all of the lockers in the first long hallway.
4. Dumpster Diver - Accept the "Little People, Big Experiments" mission from Thirsty and head to the waypoint marker. Take down Motorhead and search the dumpster within the garage.
5. Crimson Shorty - Just before you enter The Crimson Armory, there will be two Crimson Lance chests. One of them will contain your final Loot Midget.
If you're finding it difficult to locate one of these guys, there are a few that are listed twice within the guide. Message me and I will look to see if I can find an alternate location for you. Good luck and happy hunting!