Amethyst- start at the shrine of sight (the one that go go to if you fast travel there), follow the right side of the mountain up the path where you fight the spiders. After going through the vally make your way down to the river. Follow the riverbank around the mountain on your right and you will find a frost giant with the paragon.
Sapphire- from the amethyst paragon go across the river. On the other side turn right and go up the steps, but stay next to the river (you will have to leave the path). Follow the river and you will find some ruins (this is the place where you use the paragons). Look across the river to ring the frost giant.
Emerald- go through the vally towards the glacial crevis. You will see some falmer huts on the right, go through the gate that's there. Follow that path up and throu the huts, eventually you will go up to a very high point. The path continues right across a bridge, but the giant is in a pen on your right.
Diamond- immediately after exiting the glacial crevis ther is a path on your left. It kind of goes back up around where you just were. Follow that up to the frost giant.
Ruby- (****important**** you must have the initiates ewer) inside the inner sanctum, directly in the middle of the room there is a shrine to auriel, in that same room there is a pedestal on the left wall (from where you first enter) go up to it and activate it. It will place the initiates ewer on the pedestal and the wall behind it will create a door. Walk through it and defeat the frost giant in the next room.
So to use the paragons you have to go to the teleporter. On the right there is a paragon socket. Activate it and choose which paragon to use.