Hey, Draken, how goes it? Hi, furan, and sorry about the late-ish reply. I would have replied sooner, but I had to double-check a couple of the bun locations for you.
Okay, let's get started then (I won't use spoiler tags, since you asked without them and obviously expect spoilers):
Monster Bun: Indeed, you have to use the "Steal" command with Heath in order to obtain it from the Golden Whale, which can be found in the Vladivostok Waters and the Gulf of California. Equip "Lupin III's Suit" for better/faster results, and have one or two others use "Battle Stun" on the Golden Whale so it can't run away (I say "one or two others" because sometimes "Battle Stun" will miss, so if the first character misses with "Battle Stun", the second character will usually connect with it). The Golden Whale will never drop the Monster Bun, so you must "Steal" it if you want to obtain it.
Sexy Bun: Yeah, this bun can only be obtained from the bath house in Angel Town. The NPC with the Sexy Bun is in the bath house on the women's side, so you have to go through the mini-game of swimming up the pipe to get it. Unfortunately, as soon as you clear Atlantis, Angel Town meets with...an unfortunate end. If you've already passed Atlantis, you won't be able to get the Sexy Bun in your current game, sorry.
Prayer Bun: This bun involves a small quest/task: when you first arrive in Lemur Village, speak with a woman who is worried about her daughter, Kiki (who's presently at Oceania's Bless). She will ask you to go check on her daughter...say "Yes". Make your way to Oceania's Bless, where you'll find Kiki in the infirmary. In order to trigger the next part of the bun quest, you must clear Mothership Omega and make your way back to Oceania's Bless. Once you've cleared Mothership Omega, return to the Oceania Bless infirmary and speak with Kiki, and she'll ask you to relay a message to her mother. Return to Lemur Village and speak with Kiki's mom, who'll give you the Prayer Bun as thanks. Note that if you ever need another Prayer Bun, you only have to return to Lemur Village and speak with Kiki's mom and she'll give you another one (this holds true for all Golden Buns). On the off chance you might have refused Kiki's mother's request (to check on Kiki), I'm not sure if the game will still give you the Prayer Bun if you return to Kiki's mother after Mothership Omega.
Harbor Bun: This one's tricky because certain game events act as triggers, causing some NPC's to change their dialogue/actions (so if you previously spoke with an NPC, then set off a game trigger and return to the same area, you could walk by an NPC with important info and not even know it). Anyway, back to the Harbor Bun...when you and Heath first arrive in Nagasaki, get Glover's permission to use his ship and board it. The ship will take you back to Neo Kobe, even though that's not where your characters wanted to go. This is the trigger I was talking about before...there's a woman walking right by the hotel (on the way to Bless HQ). From this point forward, speak with her and she'll give you the Harbor Bun. If you haven't spoken to her since you spoke to her the first time, she should still give you the Harbor Bun.
At one point, I was considering writing up a Bun Location list, but most of the buns are in pretty obvious locations so I figured it wasn't necessary. Considering that there's a few (like these) that are "hidden", I'll go ahead and write up a Bun Location list and post it later.
If you have any other questions, let me know...always glad to help