To catch any Pal you need to make a Pal Sphere first.

Make a Primitive Workbench

1. Open Technology. (Esc in PC)

2. Activate Primitive Workbench.

3. Open Build. (B in PC)

4. Make a Primitive Workbench from Production tab. You need 2 Woods for it.

Craft a Pal Sphere

1. Open Technology. (Esc in PC)

2. Activate Pal Sphere.

3. Open Primitive Workbench.

4. Make a Pal Sphere. You need 3 Woods, 3 Stones and 1 Paldium Fragments for it.