I'm not sure about Ul'dah, but I do have a suggestion for you. I may end up killing myself for this, but... Limsa Lominsa sheep drop Wind Shards.
There is a huge flock of them that hang out by the Western of the two light houses that are south east of Limsa. I farmed there for quite some time in Closed Beta, working on ranking up classes, and I had like 800 some odd wind shards. I'm sure there are other places to go, but maybe do a bit of exploring, head towards the ferry and hitch a ride over the Limsa and take a look.
But if you see a Lalafell named Ridere Tirose there, politely bow and run away and leave the sheep to me ;) hehe
All the Lalafell...
None of the bad aftertaste...
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