The shards are found in a different location every time you play, so it's impossible to provide a guide to them. Just bear in mind that the shards could be anywhere on the levl; inluding, buried in the ground, hidden inside objects and even in the guts of various enemies.
From the beginning, keep going left until your path is blocked by yellow and black barriers. Smash throughthem and enter the building in front to begin the first stage.
Go to the casino area and climb up to the "Chao in Space" poster. This you enough height to fly across to the yellow button on the casino which opens the door.
There is usually a fragment to be found in a hidden room in the building. You can reach it by bouncing off the ground level springboard up to a platform with a red button. Step on it to open a trap door and drop down to find an Emerald shard waiting for you.
Another common location is inside the mouth of the gigantic lion monument. Wait for the mouth to drop open then bounce off the sprinboard to get inside and quickly collect the fragment before the jaws close on you.
After meeting your fellow echidnas in the cut-scene, run into the hotel and follow Robotnik up in the lift for a boss battle. Let Chaos bounce around like an idiot and when he stops fly at him. Do this four times and the water monster is beaten.
Now, carry the object past the icecap to the Red Mounatin access area and place it beneath another monkey cage to the next stage.
This is probably the most enjoyable Knuckles stage as there is a massive expanse to glide and climb in to your hearts content. You can usually find a fragment inside one of the enemies - look for the lava pit, as it's a frequent hiding place.
Head back down to Mystic Ruin for a head-to-head with Mr S himself. Dodge his speedy attacks and fly at him three times to put him in his place.
No sooner have you dealt with Sonic than another boss battle comes along. This time it's a fight with Chaos on the duck pond. Avoid his attacks by gliding across the lily pads, and when he comes to the surface of the pond fly into him. You have to do this four times to win the fight.
Take the minecart through to the next area and pick up the gold statue. Take it through the forest to the temple and place it on it's pedestal.
You now have to locate the second statuette but, before you do, take a quick detour to Big the Cat's house for another upgrade item. Find his house by travelling upstream and you can't miss his wooden shack. Climb the big tree and glide across to the ledge opposite where you'll discover a pair of gold mitts. These give you a new Maximum Heat Attack - hold the attack button until a light surrounds Knuckles, and then release it to fly around the screen killing all and sundry.
Now you can go and find the second statuette. The best way to do this is to return to the ladder from which you entered the forest and follow the path to the left. After passing the route to Sand Hill look to the right and you'll notice some old stonework partially hidden by trees. This is a passageway, so head down down it and stand on the mound of earth to dig down and retrieve the second object. Take it to the temple, place it on the shrine and drop down to the next stage.
The Fragments are easy to find in this enclosed level. There are only two rooms to search: the main room can be traversed with Knuckles' climbing ability, enabling you to locate the fragments in no time. The second room is a beachy area and you usually have to dig for one of the shards.
Run straight ahead into the monument to see all the lovely gems on display. Watch the cut-scene of the Master Gem being reformed then follow E-102 back to Mystic Ruin and take the minecart to the next area. Fly across the forest toward the flashing lights and, after a cut-scene, you'll find yourself in the Egg Carrier.
Go through the door and collect all the bonuses in the drained swimming pool room, and then exit to access the final stage.
Push the lever to open all the wall compartments on the level (there is usually a fragment hidden in one of them). There are loads of obstacles and baddies scattered around so get them before they get you and there will probably be a shard inside one of them.
After completing your gem retrieval, head off for a showdown with the final boss.
Go up to Egg Carrier's deck and fly to the front of the ship for the ultimate face-off with your nemisis Chaos 6.
See those bombs Chaos keeps spitting at you? Just bang into one to deactivate it and you can chuck it in the water monster's mouth. He'll swallow it and freeze for a couple of seconds enabling you to smash into him. Repeat this four times and the battle is won.