It's in Luca. Go to Luca from the airship and go down one screen, continue along, and take first left, et voila! You are at the Sphere Theatre.
Um....When you beat the game, or just before you beat the game, are you allowed to travel to Bevelle and roam around as if you owned the entire place?
After you beat the final boss, the ending FMV comes on, and then the credits. After that you get the familiar 'THE END' screen, which never disappears. You have to reset the game and start at your last save. You can roam around as if you own the place before you fight the final boss, but cannot go to Bevelle.