Limsa area has sheep and puks- both drop tons of wind shards. Beetles/ladybugs/chigoes work too.

You can get them from bats, roselets, bees around Emerald Moss (Gridania), but Limsa is much better for them.


Alternatively, if you have lightning shards, go to the fish store in LL (south of adventurer's guild) and buy Tiger Cod for 200ish gil.
1 Tiger Cod + 4 Lightning Shard = 12 Wind Shard, and it's a Rank 1 Alchemy recipe.