This article is from the Final-Fantasy and other Square Soft Games FAQ, by firstname.lastname@example.org (Nick Zitzmann) with numerous contributions by others.
A thief in Maranda knows the answer to this one. Talk to him in the Inn,
then go search for it in the Fanatics' Tower.
Remember what the thief said, as it is the key to getting the Air
Desperate? Read on...
Head to the first Treasure Room in the Fanatics's Tower, then face the
wall to the right of the treasure chest and press A. Another room will
appear outside, and inside this room is the Air Anchor.