The dolphins are in the dark areas between the man and woman. Where the woman's hands go up, in between her left arm and head is a dolphin and the man's hair is a dolphin(holy crap, that sounds wierd).

The woman's pubic area is a dolphin's tail. On both the man's arms inbetween his arms and her body, the shadowed area are dolphins.

Look closely at the shapes of the shadows and outlines, it's easy to see.