Take out the oil dipstick, if you see mud on it, that's water contamination.
Do a compression check, you can see a clue if the head gasket has a leak, if the compression is abnormally low on 1 cyl.
Oil cooler and EGR cooler are possibilities, oil cooler more likely than EGR cooler. You could try doing a pressure check on the coolant tank and see if it's holding pressure. The only way I think you could check them seperately would be to remove the coolant hoses going in and clamp them off airtight. Then see which one is leaking pressure. This would be the only way without removing them from the car.