All information is correct as of the latest Cinematic Universe movie: Black Panther (February 2018) & Infinity War trailers (April 2018).
Mind Gem
- In Vision's forehead
- Seemingly giving him life.
- Formerly part of Loki's Staff from The Avengers (2012).
- Last seen in Captain America: Civil War (2016).

Space Gem
- Was in Odin's vault. Loki passes by it while brining Surtur's crown to the Eternal Flame in Thor: Ragnarök (2017).
- With Loki aboard the Grandmaster's ship seen within trailers for Infinity War (April 2018).

Time Gem
- Encased inside the 'Eye of Agamotto'
- In Doctor Strange's possession on Earth (2016).

Power Gem
- On Xandar with the Nova Corps at the end of The Guardians of the Galaxy: Vol. 1 (2014).
- Originally encased within the Orb that Star Lord retrieves at the beginning of the film

Reality Gem
- Encased within (or in the form of) The Aether
- Assumed to still be in the possession of The Collector after the explosion on Knowhere (The Guardians of the Galaxy: Vol. 1 - 2014).
- It was given to him by the Warriors Three at the end of Thor: The Dark World (2013).

Soul Gem
- Unknown at this time
- From the image provided by the Collector during The Guardians of the Galaxy: Vol. 1 we can assume this gem to be orange in some way.
TL;DR::

Bonus side-note
In the Cinematic Universe there are two Infinity Gauntlets - Right & Left.
The Right-Hand Gauntlet was in Loki's possession during Thor: Ragnarok. However it was shown by Hela to be a faked gauntlet.
The Left-Hand Gauntlet is in Thanos' possession at the end of The Avengers: Age of Ultron & within the Infinity War Trailers.
