Should be "Darkhall, Oldenpinner, and me down a long corridor," because you are the Direct Object — the thing receiving the action (verb) from "This 'Grace' character" (the subject).
I just use this shortcut:
Imagine if you removed Darkhall and Oldenpinner and just had "This 'Grace' character picked my lock and led I down a long corridor" as your sentence. It doesn't make sense! So you replace the I with me and get this: "This 'Grace' character picked my lock and led me down a long corridor."
My apologies if someone already mentioned this!
YES I'm finally reading NA: CU!!!