You find them in Icicle area. You can tell what they are cuz they come with 1 or 2 Jumpings (the rabbit thing). I already have one at A rank.

Ok another question ,if you get a Black Chocobo, will it automaticaly be male? Cuz the Wonderful Chocobo I caught is female. And if it's not I'll have to go out and get another wonderful Chocobo, which is a problem cuz I had a hard time finding the spot in Icicle area where they were.