Bottle 1 - At the very beginning dig up the bottle using the dog.  Bottle 2 - On the second island (at the beginning of the level) look for the castle-treasure as Jack (use the compass). Later use the dog to dig up two castles and build them using different character. Again use the dog to enter the sand stronghold and take one bottle after another. 
Bottle 3 - When you enter the cave use the Sea Walker (Bootstrap Bill fits) and look for a big starfish and a chest. Destroy the chest and build a new object out of it. Pull the bar to take away the bottle from the starfish.  Bottle 4 - After the night climb the palm tree near the entrance to the underground. The bottle is up there. 
Bottle 5 - The fifth bottle is on the top of the sunk ship. To get it you need to shoot at the long silver object using a long gun (Marty).  Bottle 6 - Again in the underground go to the bridge and shoot at the silver bricks on the wall using a long gun (Marty). Now the ray of light needs to hit water - move the right helm twice and the left one three times.  Dive as the Sea Walker (Billy) and drag the mirror. Turn it so the ray hits the purple tentacle in the corner. This will unblock the access to the bottle.
Bottle 7 - When you take the wood to the elevator and it goes up, you will notice a wall with an orange bar. Pull it as the strong character (Tattoo Pirate).  Bottle 8 - You can notice seaweed in the place where you found wood. Go through it as pirate-ghost (Billy). 
Bottle 9 - There is a passage blocked by the silver grille on the left from the place where you found wood (in the cave). Destroy it using a long gun or a bomb (Marty). Go up. On the beach on the left you will find cannons. Destroy the targets to get the bottle.  Bottle 10 - On the same beach where you found bottle number 9 you will find ice floe. You can destroy it using Siren's scream.