There are Three Legendary Lorimon. The first, Tenko, is in a well north of the Salian ruins, near the border of the the Ice Field and Aldente Forest fields. She is locked behind Diving 3 and Hard Headed/Stupidity 3. Use Diving 3 to explore the mini-dungeon that contains her statue and talk to it. Then return to the well and go south through the Rock 3 to the Craving Labyrinth. Smash mobs until you get 5 of the quest items. Return to the statue. Her bond quest has you return to B4F of the Craving Labyrinth to defeat a boss.
The legendary Lorimon, Orochi, is in the Blood Moon Ruins central keep. Knock down the rune locked door north of the main entrance (IIRC, Sigma stone is required). Her dungeon is after her statue. Ignore the trash mobs, and go deep to get to the Boss. Once you free her she teleports out and you'll find her at the Brothel in the Underground. Her Bond Quest is in the Small Shrine of the Red Blood Cult (easily accessed through the Guild Basement in Blood Moon Castle). In order to find the demon though, you first need to complete some additional side quests. Flavel on the second floor of the Reingarnet Guildhall will want you to get various books scattered around the world. Books are in the following locations: MariMari's House in the Divince Tree City, the mansion of the Lord of Reingarnet, Dorothea's Bedroom in Blood Moon Castle, Farris' Mansion in the Golden City, and the deepest level of Grack's Cave where you fought the Demon Lord Hardin. Once he's had a few days to read them he will send you to Maridis Ruins to fight a boss, then after a few more days on to Along's House, who will finally speak to you and give you the Dousing (Ruda) Ring needed to find Orochi's lover after a few more days. It's a very long quest in terms of in-game days, and a good time to rebirth your Lorimons if you're not doing anything.
The final Legendary Lorimon, the Jorow Spider, is in the Cave of Warding behind the Phi Rune door. Her Quest enemy is north of the Watchtower at the very north edge of the map. If you have Pixie in your party you can follow the 'scent marks' from the Watchtower warp point. The enemy she needs for her Bond Quest is in the Watchtower 4F, however she requires the same Ruda Ring as Orochi.
To get the Delta Stone (Δ), you need to complete the quest provided by Louisa in the Succubus Village to retrieve her dildo.
To get the Theta Stone (Θ), you need to complete the quest provided by MariMari at the Divine Tree City to rescue the captured Lorimon.
To get the Sigma Stone (Σ), you need to complete a quest by Zachary in Faris' Mansion in the Golden City. He will ask you to collect 10 Platinum Dust then fight a Demon at the bottom of Rhodes Cave. The stone is a reward on completion.
To get the Phi Stone (ɸ), you need to complete a quest by L'Enfant in the Blood Moon Castle. She will ask you to pray at the three stone statues (south and north of the Watchtower and then directly south of the Blood Castle) and then beat an enemy at the Small Altar in the Abandoned House left of Freya's House in the Snow Field.
To get the Omega Stone (Ω), you need to defeat an enemy in the B3F of Astaroth Labyrinth once you have the Ruddering skill. Accessing the Labyrinth feels wrong though, like I shouldn't be there. Talk to the Reception Demon in Astaroth and go to see Deville. Instead of entering the Chapel though, go back through the teleporter and you'll be in B3F. Presumably there is a legitimate way to access this Labyrinth, but in my playthrough I must have screwed something up.