How do you find which masons lodge my grandfather belonged to?

If you know what state he lived in, do an internet search for the "grand lodge" of that state. If you are outside of the United States, you can also find Grand Lodges of that particular jurisdiction. Let them know that you are looking for information about your grandfather. The Grand Lodge should be able to steer you into a direction. If you have trouble, find a Masonic lodge in your area and ask for help.