We found them in the lab where they were experimenting on Sans. Which seems to be a general destination for souls, honestly. Frisk hadn't seen them for what they were at the time, but stealing important-looking things had seemed like a good idea. I don't know exactly what they're for, but souls can give you a lot of power. Normally if you absorb them. So they could be keeping them in the crystals until they're ready to do that, or they could be like batteries.

That's all total guesswork. Alphys would know better if she were here, or maybe even Asgore. What colors do they need?