There is a video, provided by Somewhat Awesome Games, that has the location of every single Lullaby Shell throughout the first three chapters of the game. I will at least help in separate the times for when you can locate the shells in the video.
Chapter 1:Lullaby Shell #1: 0:00 - 0:41
Lullaby Shell #2: 0:46 - 1:43
Chapter 2:Lullaby Shell #3: 1:46 - 2:35
Lullaby Shell #4: 2:37 - 3:34
Chapter 3:Lullaby Shell #5: 3:37 - 4:40
*Lullaby Shell #6: 4:44+
* This one will require you to first awaken the sleeping Sentinels, as it is behind it.