There are three warp whistles in Super Mario Bros. 3. When used, they take Mario to the Warp Zone (world 9). It only takes a maximum of two whistles to get to world 8 from any other world, as using a warp whistle whilst in the Warp Zone takes Mario to world 8.
World 1-3
Crouch on the white block with a red Koopa on top of it about two thirds of the way through the level. After a few seconds, Mario will fall through the block and be behind the level's scenery. Walk to the end of the level, where mario will go behind the black end of level scenery. Continue walking and Mario will end up in a secret toad house. Open the chest to get the whistle and exit the level.
World 1 fortress
Get the raccoon suit at the end of the first room of the fortress, then fly up on top of the roof of that platform. Walk as far as you can to the right and press up. Mario will go into a small room with a chest in the middle. Open this to get the warp whistle and clear the level.
World 2
Get the hammer item from one of the Boomerang Brothers towards the end of this world. Then go to the very top-right corner of the map and use the hammer. The rock to the right will smash, revealing a secret path into another part of the map. Defeat the Fire Brothers in this part of the map to get the final warp whistle.