Vapor Materia is required for pegasi to use water-based weather abilities.
Unicorns utilizing the Science talent can infuse Frozen Essence Drops at the uppermost pool of any Waterfall Tree. Since only Science level 1 is required, any unicorn can make it.
It should be noted that you should only carry as many Frozen Essence Drops as you want to turn into Vapor Materia, as interacting with any pool to turn them into Vapor will consume every single Frozen Essence Drop available in your inventory, much like with Arcane and Energy Materia. Every 2 Frozen Essence Drops grant 1 Vapor Materia.