Instructions
Move the party to any city on the world map, select the "Pub" option from the city menu and then view the Jobs board.
View and then accept the "Popocho's Chocobos" mission. This mission is available at any time after completing the main story mission "Making Music."
Move the party to the Aldanna Range and then select any of the three mission battle icons. A battle will start. Defeat the enemy units while keeping the Chocobos alive.
Repeat step three until all three mission battle icons have been cleared. When all three battles have been completed, the mission will automatically end. One of the rewards received is the ability to create Chocobo Knights.