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I was lucky. I had around 10 Ultra Balls. I wasted 3 with Dialga and caught it with the fourth one, then went to catch Uxie (forgetting about buying more) and again I wasted 3 and caught it with the fourth one. So I had 2. On the way to catch Azelf, I found another Ultra Ball in the ground. I wasted 2 and caught it with the last one I had. That's being lucky.
I'm yet to catch Mesprit (I don't care enough to go looking around yet...), but Uxie and Azelf were easy as cake for me. Maybe 5-10 ultra balls on each. (No status effects, just somewhat low health.)