The Haunted Shores update in Sea of Thieves comes with a new set of ghostly sails to equip for your ship. You'll need to earn them by collecting the Hunter of Damned Captains Commendation, which you can receive from the Order of Souls faction by shooting down a ghost captain's ship during your travels. The Ghost Captain's Ships are much more durable than the Grunt Ghost Ships you fight, but once you shoot one down you'll have access to the Ghost Captain's Sails.
The Hunter of Damned Captains Commendation only requires you to sell a Skull of the Damned Captain, who drops after taking down a ghost captain's ship. These are the last ghost ship that you must fight when you go on a ghost fleet voyage. After reaching Mystic Mercenary at reputation level 25 with the Order of Souls, these journeys become available to you. Complete one of the available voyages involving ghost ships, also known as ghost ships, and you can fight a ghost captain ship at the end.
You can also take part in the Ghost Ship World event which can appear in your game. You can see the world event happening by the big enough orange skull in the sky with a beard and a hat on it. To make it easier to spot the Ghost Captain ships during the event, look at the type of symbols on their masts. Ghost Captains will have symbols that resemble the emissary flags traditionally flown by players. It won't be the flaming ones that mean the Ghostly Ashen Dragon Ships that sail alongside Burning Blade, Captain Flameheart's flagship.
Once you get Captain Skull of the Damned from the wreckage of the ship, you will need to return it to one of the Order of Souls representatives at the outposts. After unlocking the Ghost Captain's Sails, you will need to pay 49 Gold to make them available for your ship.