This was a question I had ever since I started studying Formal mathematics. Take ZFC for example, in it the axioms tell us 'tests' to check if something is a set or not and how the object, if they are set, behave with some other operations defined on the set.
My question is how exactly do we find objects do fulfill these axioms? Is there some formal procedure for it , or, is it just guess work?
No, the axioms of ZFC absolutely do not tell us how to "check if something is a set". It seems like you are imagining a situation where you have a mathematical object and then you somehow use the axioms of ZFC to check if this object is a set. No such situation exists.$^*$
You seem to be conflating the status of the axioms of a theory like ZFC with axioms defining, say, a vector space. In the case of vector spaces, you are given a set and two operations which are claimed to be scalar multiplication and vector addition. To check if this is a vector space, you check whether the axioms defining vector spaces are satisfied by these operations.
By contrast, the axioms of ZFC are simply a list, not necessarily exhaustive, of statements we hold to be true about sets. Most of them tell us that a certain set exists if some other sets exist, such as the powerset of a set, or the union of a set of sets, or a subset of a set defined by some formula. If you want to "find objects [which] fulfill these axioms", you simply start from sets which are postulated to exist and then apply these constructions.
For example, from the set of integers, one construct the set of pairs of integers (using the axiom of pairing), viewed as formal fractions. To obtain the rationals, one restricts to a certain subset of this set (using the axiom of specification), say the set of coprime pairs of non-zero integers where the second element is always positive plus the pair $\langle 0, 0 \rangle$. To obtain the reals, one constructs the powerset of the rationals (using the powerset axiom) and restricts to certain special sets of rationals corresponding to Dedekind cuts (using the axiom of specification).
$^*$ "What about when we show that the set of all sets does not exist in ZFC?" That's different from showing that something is or is not a vector space. The "set of all sets" is not a validly specified mathematical object. You're not first describing a legitimate mathematical object and then measuring it against the axioms of ZFC to show that it is not a set. You're simply showing that no set satisfying a certain description (namely, that it contains every set) exists.