U have to go talk to the guy who gave u the empty 'souls'... he asks u if u made a decision and u tel him what class... I forgot where he was and it took me a while to figure it out... Buuut I know he's in ishgard I think foundation?? Go back and check ur completed quest log and u can read the quest where u got the souls and who u talked to.
But ya u can't insert the soul ur self hes gotta do it