The graves became lost in time until members of Broughton and District History Group began their research.
The tragedy in March 1916 happened at Pte John Bagnall's home at Moss Valley.
Researchers Phil Coops and Robert Webb hope to mark the centenary next year.
There were other people in the small cottage at the time of the explosion: Pte Bagnall's wife, Mary; daughter Sarah, age two; a niece, Violet, age seven; and sister-in-law Sarah Roberts along with her two children, Mary and Ethel, aged five and 15 months.
Ethel, the youngest child, was killed instantly. The other three girls died later in hospital. Others sustained terrible injuries, including Pte Bagnall himself, who lost a leg, while Ms Roberts lost both legs.
The Wrexham Advertiser from March 11, 1916, reported: "A shocking accident occurred at Moss on Thursday resulting in a child being killed outright and in six other persons being terribly injured, three of whom subsequently died.
"It appears that Pte Bagnall, 4th RWF, 2 Red Lion Cottages, Moss, who returned home from the front on Monday after 18 months' service, was cleaning an unexploded German fuse shell, which he had brought with him as a souvenir."
Source: Wrexham Museum produced a WW1 commemorative newspaper in 2015 with newspaper reports from 1914-18
The story came to the attention of the historians as they studied World War One.
Mr Coops said Pte Bagnall had thought the shell was safe as it had been "chucked around in the barracks and trenches" for six months without any ill-effects before he returned to north Wales from the Western Front.
From their research they discovered although the tragedy was big news at the time, it seemed to have been largely forgotten, even by family members, who did not know where the little girls were buried.
Then, by chance, while on a visit to Holy Trinity Church in Gwersyllt, a couple of miles from Moss Valley, they found some notebooks detailing burials right through to the early 20th Century. There, they found reference to the Moss Valley children within those pages.
Mr Coops said: "We put them all on to a database and by using that and what we know of the church yard and the layout, we managed to pin down where the graves are."
But the mystery remains over why the graves were unmarked.
Further research revealed there had been a community fundraising event to pay for the funeral of the children which saw one of the largest ever funeral processions in the area.
And although enough money had been found for the graves, there was clearly nothing left for a headstone.
"When I started writing it down... it made me feel very sad," said Mr Webb.
"And then to know they were buried here, locally, I still felt very, very sad, and still do."
The men are trying to trace family members to secure permission to erect a memorial at the graves.
They said they have already met some, and no objections have been raised, but the descendents had very little information about the family history.
Mr Coops said: "It was one of those things that families didn't talk about. It was a tragic accident and nobody wanted to talk about it."
Nothing remains of any of the Red Lion Cottages these days. Once part of a busy industrial community, home to the former Westminster Colliery and a railway, it is now just a grassy bank.
But Mr Webb and Mr Coops hope that by marking the graves of the four little girls, they will be leaving a more tangible reminder to the tragedy.
Mr Coops said: "It's lost in memory. We just want to commemorate it.
"We just want to make sure that other people know about it."
If they get the necessary permission, they hope to hold a small service at the grave on the centenary of the accident next March, inviting any family members they trace.
Historians are hoping to place a plaque on the unmarked graves of four children who died when a German bomb exploded in Wrexham after being carried home as a solider's souvenir during World War One.