Arthur Gremory can be located in the Imps' Lair which is directly across from Stone's Flying Fortress in the Orobas Fjords. The entry is a small hatch on a grassy ledge with two trees and an imp's hut on it. Arthur can be found locked in one of the two cages at the rear of the lair. Rescue him as part of the quest Grave Robbers. He can be mindread to find out the secret to getting the Gremory family treasure unharmed. If you mindread the other two siblings as well, this will unlock an achievement in the Xbox 360 version.