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If you are doing the Azura's shrine quest, then there should be about four will O the wisp's in that area. Other than the that, the only place I could find the will O the wisp dust or remains was in the imperial market district at the alchemy shops. Hope that helps :)
A good support Pokemon would have to be a Pokemon that will help your team. You can try Skarmory for physical walling and spikes/stealth rock support blissey for special walling or you could try an annoyer Pokemon that forces switch outs on other teams such as rotom with confuse ray will-o-wisp ect.
my opinion is the following: flamethrower, fire blast, will-o-wisp, and overheat.
You can find the TM24 - Thunderbolt in Pokemon Pearl or Diamond in two places. One is in the Valley Windworks, after you obtain the Hearthome City gym badge and the HM03 - Surf. Simply Surf behind the Valley Windworks building to a small patch of land. That is where the TM24 is. You can also buy a Thunderbolt TM from the Veilstone Game Corner for 10,000 Coins. You can find the TM 24 Thunderbolt in diamond and pearl in two convenient places the first 1 is at the valley windworks where you see a patch of sea surf but go north and then east u will find a poke ball there and inside u can obtain the TM 24 thunderbolt and i don't think there r any hidden items and i recommend teachin it to a imported ampharos or a pikachu and riachu o and also u will HAVE TO HAVE THE HM SURF
if u go to this guy (i forget where he is but i think he might be somewhere in eterna city) and talk to him (o ya he is called the name rater) he might let you change ur pokemon's name.