Wolf - This is fairly early in the game. Hit the switch to open the elevator in the Tower of Mist close to the Long Library and it is inside the elevator.
Mist - The 2nd transformation you get.is in the Coliseum. You will get this after fighting the bosses Minotaur and Hyena. You will also need this to get the last soul...the Bat
Bat - You will get the last transformation soul in the back section of the Long Library. You will need the Leap Stone and the Mist transformation to obtain this. It is possible to get here before getting the Mist but you need the actual Mist to get to the room with the soul.