if you dont want to receive the slightest bit of information when you can get lv 3 key spheres due to this being your first time playing through the game then dont read what I have said about a certain location underneath.........OK

Slight Spoiler.....you wont be able to attain lv 3 key spheres until you get to zanarkand - there you can get them as a rare win iten from Defender Z enemies, there is also a chest containing one as well..............Slight Spoiler over

If you are a quick player you should be able to get to there within about 2 and a half hours.