You can find them in a subdungeon, which has a random chance to appear. You will need to give them some gold (20 i think) so you may want to hold on some money until you see the subdungeon. You also need to survive (not necessarily finish) the dungeon just as with the other races.
I am not sure if there are specific dungeons, in which the goblin subdungeon may be found only. I think i found it at havendale bridge, but that's a very vague memory.