you basically go about killing things a multiple amount of time with a chance to collect its soul using a dream catcher shaped wand (tho you dont need the wand equiped when killing stuff) (and some transformations are just added automatically for reaching a certain skill requirment)
any way this is the complete list of available transformations for that game
http://wiki.mabinogiworld.com/view/Shapeshifting_Collection_Journal
but wouldn't it be awesome if could run about as a frost spider or a Giant maybe even a dragon or one of the more unique NPC's in Skyrim ??