There are a few ways to find them, although it kind of depends which life stage you want to target. UV Light trapping is probably the best one to find adults, and if you don't have a light setup you can drive around gas stations in secluded areas (the secluded areas part is important, don't want a bunch of light sources acting as competition) at night (between 10pm and 2am).
If you want to find larvae, they can sometimes be found inside rotting logs that are in later stages of decay. Generally the best place to find them is inside large tree holes (hardwood, not pine) with decaying wood inside. If the wood substrate inside is somewhat dry, they're probably there. If it's too wet, they're not there.
I've never had luck finding adults but plenty of people have. Meanwhile I have found plenty of larvae searching inside tree holes, even in areas where I've never even seen evidence of adults. I've even found some in a decayed pine log. You'll know very quickly if larvae are present in a tree hole, you'll find the frass pellets from big L3 larvae. Be warned though, looking in tree holes is a good way to get eaten up by ants or bitten by an animal, always exercise caution and don't take more than you need.