Totally confused about the location of "s,p,d,f" Orbitals inside the atom
I know that electrons revolve around nucleus in their orbits.


You should "unknow" that, because that is the failed Bohr Model of the atom.  

The are no fixed orbits for electrons in atoms.  

The Bohr Model has been superceded by the Schrodinger model.

The atom is described in terms of probabilty density: for each point in space the probability that an electron will be at that point (when the atom is in a given state such as 1s, 2s, 2p, etc).  


  my question is "how the orbitals are located in the orbits?


There are no orbits


  Do they really posses Spherical, dumb bell, double dumb bell shapes inside the orbits??


The shapes you seen in drawings that are spherical, dumb bell, etc. are meant to show regions of higher electron probabilty density.  For example, someone might draw a sphere on the basis that there is a 90% probablity of the electron in that orbital being within the sphere at a given moment.  However, in reality, for example in the 1s state, the electron could be anywhere in space. Other states, such as 2s, have nodes, with the electrons possibly being anywhere except at the nodes.  

So think of the shapes as showing where the electrons in that orbital are often, but remember that they can really be anywhere excpet at the nodes.