have a golem set as your transporter (having them with high priority to transporting stuffs) and if I'm not mistaken they will prioritize artifacts before other things if they haven't already picked up something or are on the way to a resource already. at least that is what it seems like tho i could be wrong.

They should just do it automatically. Artifact is pretty high priority. There may be a chance that you mined yourself into a corner where they simply cannot get out and you need to build some ladders or whatever.