Male and Female Golden Dayfly Locations and Guide
The Golden Dayflies are found in the Gerudo Desert - a location you reach by taking Fyer's Cannon Ride in Lake Hylia later in the game. Alternatively once you discover the Warp Portal in Gerudo Desert that can/will be your main method of travel to and from this location.
For those interested, the Warp Portal is found on the two raised platforms in southern Gerudo Desert - in the screen shot below it's just a tad west of the Female Golden Dayfly. The Male Golden Dayfly is found east of the Female, buzzing around in the middle of the desert.
If you still have some questions and would like a more detailed step by step walkthrough for obtaining the Golden Dayflies then keep on reading!
Additionally players on the Wii HD remake of Twilight Princess should keep in mind that their maps will be reversed from mine since these pictures were taken on the Gamecube version.
Male Golden Dayfly Location
The Male Golden Dayfly is found buzzing around the southern portion of Gerudo Desert. He's right out in the open so you might have a difficult time seeing him if it's currently day. The closest Warp location is the one just outside the entrance to the Cave of Ordeals (west of where the Male Golden Dayfly is).
It's easy to miss your first time through the desert in which case you'd have to warp in from the location you got just after completing Arbiter's Grounds.
Female Golden Dayfly Location
Much like the Male Golden Dayfly you'll find the female minding her own business buzzing around in a gorge in the southern Gerudo Desert. She can be found just a tad bit east of the Warp location in the southern Gerudo desert.
The only advice I can think to give if you're having trouble locating her is wait until night. All the bloom lighting they use in this area is nuts and it makes it harder to see,