He can be found in the High Wall of Lothric, near the second bonfire. Descend the stairs into the tower and jump all the way down to the lowest floor. Follow the corridors into the kitchen, then make a sharp turn right and keep going until you reach a locked cell. Greirat will be inside.
His cell door is locked, so you’ll need to find the key. Go back to the bonfire, into the tower, then descend only one floor. Exit onto the terrace and jump to the rooftops. Go to the far right corner of the roof and use the ladder. Go through the door next to the ladder, and exit through the door on the opposite side. Go straight ahead until you hit a banister. Go down the stairs and into the building again. The key is on a corpse in the left corner, at the bottom of a set of stairs.
Once you’ve freed him, he’ll ask you to bring a certain ring to a woman named Loretta in the Undead Settlement. While exploring the area, you’ll find her remains. Bring Loretta’s Bone to Greirat in Firelink Shrine. He’ll let you keep the Blue Tearstone Ring.
Spawn at the second bonfire, go through the house and onto the terrace.
The bone is on the hanging body wrapped in tarp.
Sending him out on expeditions will result in expanding his inventory. There’s a danger he’ll die in some of them, so you’ll have to take precautions.