Proceed further in this section when, and only when, you have three of the pieces of the Song of Hero: one from Faron Woods, one from Eldin Volcano, and one from the Lanayru Desert. Once you have them, head to the sky and fly into the Thunderhead.
Go further northwest and you should find Levias – you can’t miss him; he is the huge, gray, whale-like thing flying through the sky. Dive onto his back and Levias will teach you the fourth and final part of the Song of the Hero.
After the resulting scene, you’ll be told that you have one last trial to complete, somewhere in the skies. The location of said trial becomes a Dowsing option, but there is no need for that, as I’ll point you there. Begin by exiting the Thunderhead and flying to Skyloft.