The Sirocco Caverns are located in the Howling Plateau, which is one of the first areas in the Act II desert, but it is recommended you do not go through it at the beginning of the act, as this is a pretty tough dungeon. It is also a very large one. The Sirocco Caverns are possibly the biggest non-story dungeon you have seen so far. Still, even though this dungeon is not needed for the main story, there is a lot of experience to be gained here, and a lot of loot to be found. After you have leveled a couple of times in Act II and are ready to enter this dungeon, head to the Howling Plateau and locate the Sirocco Caverns on the east side of the Howling Plateau Map. Because this is a huge place, you should have like 15 to 20 minutes available to play, since if you leave the game before completing this, the dungeon will reset. Enter Sirocco Caverns Level 1.
Level 1 of this dungeon will have Vicious Ghouls (Undead) attacking you from the beginning. A new type of beast, Cave Wing, also comes up on you, attacking you from holes along the cave, as well as Savage Rockworms who emerge from the ground and try to swallow the hero. If a Savage Rockworm swallows you, it goes underground and your character vanishes for a few seconds, until being spit out with less health. Along the walls, there are Slime Spewers, who spit lots of poisonous globs at you.
Sources of loot to look out for include Stone Piles, Egg Sacks, Dead Villagers, and Dead Worms. There are also treasure chests here, including a possible Resplendent Chest that has high quality items.
Eventually, you find the exit into Sirocco Caverns Level 2. Enter the second level of Sirocco Caverns. This level is a bit tougher. There are narrow passages, where when you cross them you get attacked by more Cave Wings and Vicious Ghouls. It is important not to let them surround you inside those narrow passages. Instead, you should attack from outside the passage while the creatures are grouped in the passage, thus using the environment to your advantage.
Make sure to take advantage of any shrines in the area, such as a Protection Shrine which gives you a blessing that reduces damage taken by 25%. There is a good chance of finding the relatively rare Resplendent Chest in this level, so it is a good idea to explore the area thoroughly. Luckily, level 2 is a lot smaller than the first level.
At the end of this level, there is a small obelisk that will take you back to the entrance to Sirocco Caverns at the Howling Plateau. You can use this stone instead of having to go all the way back through the caves where you came from, or you could use a town portal instead, to go to New Tristram and sell the stuff you found here, and then use a waypoint to get back to the Howling Plateau, Black Canyon Mines, or Stinging Winds.