You find a wild Pikachu. You can either catch it, or use thief on it (NOTE: Pikachu has a 5% chance of having a light ball, and a 50% chance of an Oran berry). Use it well!
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It is really hard to get one. On Pokemon Platinum you need to find PIchu/Pikachu and catch it or use thief and if your lucky enough it will be holding a light ball. I
I have Pokemon soul silver and this works for me so it should work in heart gold. Since a light ball is rare ( they are held by picachu's but there is only 5% chance) , so there is another way. If you haven't beaten the elite four and you can't go to mount silver, don't bother to try to do what I'm about to tell you, just keep catching picachus. but if you can go in mount silver keep reading. Ok then take a high level Pokemon that knows thief. Make sure it has no items on it. Put it as your first Pokemon. Then go to mount silver, and go to the top and battle Red. when his picachu comes use thief on him. You will take his light ball. Then win or lose and there you go! a light balll ! you can repeat this as many times.
It is found in Ecruteak City Gym
Give Kurt one of the Apricorns. Don't recall which one though...
There is a 5% chance that wild Pikachu caught in the Safari Zone will hold it.