The Twilight Gem in Kingdom Hearts 2.5 is an ingredient used for crafting items in the game. It is obtained through synthesis. However, it is not obtainable by destroying enemy items. The most important place where you can find this gem is in the World That Never Was, where you can find a save spot. If you wish to save your game during the game, you can go to this save location by exiting the Gummi Ship.
Twilight Gems are very easy to obtain. They can be purchased from a Moogle for 400 munny. You can use them in recipes to produce items, such as Mythril Gems. You must combine Twilight Gems with Dense Crystal in order to craft Mythril Gems.