If they aren't controlled by the Crusader States anymore, you probably won't find them there though. The two headquarters I remember are Tarsus (Teutonic Knights, I think) and Saphet (Hospitallers?)
I think the Grandmasters also count as lords of the Crusader States too, but I'm not sure. The leaders should appear in their order's headquarters every once in a while, if you can't find them in the field.
When you speak to them there should be an option to join their order. What you need to do is go to the Holy Land and hunt down the Grandmaster of whichever order you want to join.
