You are correct to transform a weapon or accessory it require a specific item to do it. When a piece of equipment reaches the starred status you select it again like you want to upgrade it and look through the list of components. In general most of them should all be grayed out but there should be one that is still available, that is the your transformation item needed. If nothing is available and everything is grayed out it means you don't possess the correct item to transform the weapon. Which means you'll have to purchase it if you have the store available or wait until you find one.
Since I don't know what transformation item matches with what weapon if you don't have it on you the only thing I can suggest is to save and buy one out of the store you have the store. Check to see if it is the item you needed and if not load the game and try the next one so you don't waste gil.
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