Consult a walkthrough for the game then in the bestiary look what fiends drop the sphere and in what area. the enemie that you can steal it from it's a Defender Z (you know the big looking knights) but it's a rare item so equip rikku with a weapon with an add-onn ability and also by bribing a Demonolith which is found Inside Sin, bribe it with 900,000 and it will reward you with 40 lv 3 key spheres, If you are not strong enough to beat omega ruins build up your experience, try a double experience add-on ability then kill all characters except one, go to a place suitable for your level and fight a lot with that character until you earn enough points to be learning at least Ultima with lulu and also try getting the most powerful weapons for all character, however if your sphere grid is not as strong at this point I would recommend start the game all over again and try building up experience from the very beginning, Enjoy The Game!