The earliest you can get one is Main Street. First you must collect all the skull pages, which is tracked in the pause menu. After that, the skull will appear somewhere in the level. Find it and press X on the action space under it to begin. It will fly through the level, stopping for a few seconds at a specific location, then return to it's starting location. You must catch it at any point on its route. It is faster than you, so you must either keep up with it until it stops, take shortcuts to catch up, or anticipate where it will be.