The helicopters are located at the Heli-tours area, marked at the south of the center island on your map.
Walk up to a chopper, hold Y to enter (as with a taxi). It will cost $150, and the flight CAN be skipped.
There is a helicopter for each yellow (H) marker on the ground, though they are usually not all there at the same time. Return at different times of the day to get them all.