Yeah, the Underground and Star Piece exchange is pretty much it. You can also get one a day from the guy in the Pastoria Marsh.I think that is the only place you can get them, exempting 1 or 2 of each color you can find lieing around.
Inside Fuego Ironworks, only in Platinum. The guy in the middle will give you one of each color shard for a Star Piece.Star Piece Exchange? where is that?