I imagine Reimu either using the Border to allow her to ignore gravity in Gensokyo and then directing herself to a particular location or using one of the many sky/wind gods' powers to fly.
With Alice, I bet she holds herself up using her dolls.
There's a reason why Patchy's always holding a book, as her focus, she uses it to fly as well, but she's powerful enough to fly on her own...her body won't let her though.
Then there's Komachi, I bet she jumps, increases the distance between her and the ground, and then reduces the distance between her and a particular spot...then again, she could just walk there as well.
I sometimes imagine Youmu pulling a Son Goku and getting carried to her destination by Myon. If she's in a rush, I bet she could just run where she needs to go.
Meiling...I bet the reason why she sucks at Danmaku is because she's manipulating the chi around her to 'fly' or in this case, to lift her up and move her about like telekinesis.
Sakuya, maybe she doesn't fly altogether, she slows down Time for herself (making her look fast and to make sure others don't see what she's doing and how), jumps into the air and stops the time directly under her feet, making a platform of sorts, and then leaps from 'platform' to 'platform'. Or she could just stop time, stroll over to her destination, and then release it for that vanishing maid act.
Kaguya can't fly, it just takes her forever to fall even a millimeter, enough for her to walk in the air from place to another.
Eirin made a drug that allows her to fly, Reisen has learned how to make this drug. It's an extremely unique drug, suited only for one user, hence all the past experimentation.
Yuuka? She channels her power through her parasol like a Magician would their focus, not very efficient, rather slow, but she doesn't care.
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That's it for now, I'll be back when I come up with more ideas.