You do need to get access to the aether currents (the swirling pockets of air in the overworld) and do the aether current-granting quests (the red crystals) in every map. It's a pain, but you only have to do it once for each map. It's much better in Stormblood.

If you're having trouble, you might want to ask someone in your FC/a friend to fly you around to the aether currents.