You get spheres using the Explorer Kit. After you get the Explorer Kit, you go outside and go to your bag, and find it in the Key Items section. Then use it, and you will go underground. Then after you walk around a little, yellow shiny lights will appear on the top screen. Go toward the lights and try to select the walls around you where you think the lights are coming from. If you find one, start digging and you will eventually find a sphere.