Most BWSs can be acquired on the first visit to the labyrinth, but there is one in each of the first three labyrinths that will require revisiting at a later time once the requisite transformation is acquired.
In the room that must be reached by running over a succession of pits with jumping fish in them, there are little indents in the ceiling indicating a secret passage. You can get up here with the Monkey, but if you have trouble you can just come back with the Harpy form, since you'll need to come back anyway to get the last one. Be sure to ride all the way up, as there are two floors in this secret passage, and the baby's up there on the second one.
Atop a platform you can't initially reach in the platform/water/jumping eye fish section near the start. Come back later with the Spider or Harpy form and either climb the background blue grid as the Spider or fly as the Harpy.
You can see this one from the elevator, but you won't be able to reach it till later. Behind a locked door to the left of the elevator shaft is a room with a golem and four hanging lantern platforms. Use the monkey to scale up a shaft on the ceiling and then the elephant to smash through some stalagamajigs in an opening on the right.
In the chamber just above the shaft you scaled to reach the last warp squid, there are a bunch of blue lightning guys who rain bolts down on you. Go to the left and find the secret passage that leads you up to their level, and turn the tables on them. Once you've killed them all you'll find a baby warp squid to the right.
Close to the entrance, past the first set of stalageroonies you encountered on your way down, is a room where you fight one of those magnet men and acquire a key. The top left corner of this room has a hidden chamber with a warp squid inside.
In the room where you have to elephant charge a statue to get some stalagmites to fall into a pool of lava (all the way down the main elevator, then go through the left door), there is a BWS on a platform to the left and to the up of the lava pool in that room.
In the first room with the eyeball platforms and spikes, ride the eyeball to the right until you pass under an overhang and arrive at another eyeball similarly placed under the floor like the first one. There is an eyeball platform above that can be reached with the monkey - ride it upwards to find a baby warp squid.
There is a long corridor with a spiked ceiling and a floor full of spike traps. At one point you are expected to ride an eye platform up to reach another area - but if you stay aboard, you'll pass through the ceiling and find a warp squid waiting for you in a hidden chamber.
There's a room with an arrow pointing up. While it may be an insanely obvious clue, it's also easy to overlook. Jump up there with the Monkey (be careful to get exactly the right spot) and climb to find it.
There is a room made of slopes that will slide Shantae all the way to the bottom. Once you have Harpy form, fly upwards from the bottom to find an enclave across from the last slope with Baby Warp Squid.
In the first room you find with the fiery vortexes that spin Shantae around and spit her out in whatever direction you press, there is a set of hidden tunnels crossing through the leftmost wall. Both are clearly suggested by an inset in the wall. Following the horizontal one will lead you to a little space with a Baby Warp Squid.
From the 'floor' of the first fiery vortex room, Monkey climb the eastern wall and jump onto the strange-shaped platform of ice. Transform into Shantae and do a leap of faith to the left. When you hit the vortex, press and you will arrive on another platform, this one with a Baby Warp Squid.
There is a room later in the labyrinth with two entrances, each with a suspicious crawlspace below, and a large 'crown' shape in the middle of the room which holds three puddles of jumping fish. Crawl into said crawlspaces and navigate hidden passages until you reach the baby warp squid and a fiery vortex.