You'll need to wait til you have your final ability, Goat Fly, to collect them all. There are 7 Orbs, you will have to complete Infernio Trials and Treetops, considered the hardest platforming section in the game.
Their locations are:
Agave Fields - Head back to your house once you've obtained the ability to swap through dimensions with the click of a button. Make your way to the bottom floor and stand in the rightmost corner. Transform into a chicken, then swap dimensions, if done right, you'll gain access to the underground portion of your house. Complete this maze (you want to go clockwise), to reach the portal at the top.
Caverna del Pollo - Whereas the first two deathmatches rewarded you with health, money, and stamina upgrades, you will be rewarded an Orb by completing the third and final arena deathmatch. Pick it up inside the portal that you gain access to after finishing.
Forest del Chivo - Look for a skull switch in the dungeon, located under a hill on the right part of the dungeon, accessible only via Pollo Power. After you hit it, go to the top of the hill and jump on the highest wall here and then goat fly left. If you performed correctly you will smack dead center on to a floating platform with spikes. Immediately frog splash down and you should be able to drop through the tunnel. The orb is located through this portal. Once you are goat flying you can hold down ready to goat splash as soon as you hit the wall.
Tule Tree - From the Olrec Head, head into the tree trunk. Jump down the platform immediately inside, and you'll see a blue block on the right corner. Destroy it and goat run up to what is by far the hardest platforming challenge in this game. Complete it to reach another portal at the top and claim another orb. (Added a video, second one down of Treetops.)
Sierra Mountains - Once you've earned the ability to fly like a goat, head back to the section entrance of the dungeon, and keep progressing like you'd normally would until you jump over a huge gap. You'll enter a room with cactus enemies, and what you'd want to do here is grab the wall on the left here and align yourself with the door to the right. If done properly, you'll jet yourself to the right, pass the door and fly through the sky until you hit smack dab onto a floating "house". Complete this teleporting platforming section to reach this orb.
Infernio Trials - Complete all 10 Trials with Gold medals to unlock the elevator to the 6th orb. [thanks to Sakori, first to 100%, for the info]
The Great Temple - Face the boss here once you have collected the other 6 orbs, and you'll earn the final orb upon defeating him.
/Thanks to Breadskin over at playstationtrophies.org, Sakori and everyone else in the comments who continue to help shape the guide.