I fought him about 3 times quite a while (and saves) back and now he is literally nowhere!

I've flown all over the place with Highwind to no avail, any ideas what happened?

Keep flying around, and check all of the different locations he'd stay at (like Midgar, the crater, around Cosmo Canyon). If you still can't find him, odds are he's still flying around, so you just have to keep looking.

If you do not want to search for him again after you found him you just have to cast Knight of the round on him and he will go directly to Cosmo Canyon