All components are found in Teganze.
Cube an Elemental Essence with a Runestone to create an Elemental Rune. There are 6 different kinds of Elemental Runes you can make, depending on the Essence. Once you have 1 of each, cube them all with another Runestone to create a Xis Rune.
Remember that Xis Runes cannot be unsocketed and they automatically increase the item's base lvl to 121 (at least, I think the 121 thing is the same in Sigma).