Since it's only use is in PvM, pick one that best benefits you and other players, like party members. Fire works well since many attacks are water type (Storm Gust, Suiken FO's, Water Ball) and Wind works nicely for Heaven's Drive spam.
To make the catalysts, you need their respective ingredients and blank scrolls, which you can buy from an NPC in Yuno, directly north of your spawn point.
I wish it worked in PvP, but oh well, I don't think anything will be done about that.