The game has 10 spheres. For most of the spheres, you will have to revisit places using the airship. Those spheres are marked with (Airship)

Jecht 1 - Macalania Forest, after Spherimorph fight
Jecht 2 - Besaid Village, to the right of the temple (Airship)
Jecht 3 - SS Liki, on the bridge (board at Besaid) (Airship)
Jecht 4 - Luca Stadium, Basement A (Airship)
Jecht 5 - Mi'ihen Highroadm Oldroad, South [I think you can get this earlier in the game once you reach the oldroad, but I used the (Airship) to get it]
Auron - Mushroom Rock Road, Precipice [where you found Luzzu] (Airship)
Jecht 6 - Moonflow, South Warf (Airship)
Jecht 7 - Thunder Plains, South (Airship)
Jecht 8 - Macalania Woods South [Obtain after Bevelle, where the woods first start. You don't need the airship for this]
Braska - Mountain Trial, Mt. Gagazet


List from the official walkthrough book.