There are plenty good places to look. It took me about 4days to farm up all the pets. There are a couple of videos out of where to farm so all the credit to those guys who did it. I used "Drahque"s guide specifically.
Weeping Hollow around the spawning point.
Southern highlands / Cave of the moon clan lvl 1+2
Northern highlands / Leoric's grounds.
Royal crypts (I found most of my menagerist goblins in here FYI)
Tower of the damned
Tower of the cursed
Run those then reset, seems to be best way of getting what you want. I found about 8 Rainbow goblins during the runs as well, but unfortunately no cosmic wings.
P.S: In my runs I seem to get no menagerist gobs in the tower maps, so I ended up just doing the Act I rotation.
That's the route I used other the TotC. Farmed for around 6 hours before I found my first one. In terms of consistent goblin spawns, I'd rate it as:
1) Southern Highlands - Cave of moon clan
2) Northern HIghlands
3) Royal Crypts
I never had a single goblin spawn in weeping hollow or tower of the damned. Don't know if that's just my bad luck or if they changed the spawn points.
I have all the pets you can get from them, all I did is bounties alone most of the time. In group it's way more difficult to farm them since everyone is doing his own thing and you might kill them while being attacked by other monsters.
I would recommend doing bounties alone since it's how I got them. And pray for the best.
I do mine in T7 as a high paragon I practically walk pass them and they (monsters) die...fast and couple that with bounties run its efficient. Also for shits a giggle s I ran the entire game ala story mode thats a while but only 30mins more if u do it in T10 found 2 pet gobs and 3 rainbows gobs alas no wing.