go to the in game menu and go to Pokemon click on the Pokemon with fly and chose fly
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it is very hard to get azelf and mesprit and uxie. in my Pokemon diamond, azelf and mesprit fled the battle. if you want to find them, use your matching Pokemon app on your watch and DO NOT FLY UNDER ANY CONDITIONS. IF YOU FLY, THE POKEMON WILL ALSO FLY AND YOU WILL NEVER FIND THEM. DO NOT LOSE HOPE!!
I believe it is the gym in Sunnyshore city, or something like that. Actually it is Veilstone :)
The 3rd gyms badge will grant you the ability to use Fly outside of battle, the 3rd gym is in vermilion city.
You capture a Pokemon that has wings and find HM fly teach it to the Pokemonthat you caught and then go on to the menu and click Pokemon and thenclick the Pokemon you caught and then it says fly and just click fly.