Several places, of course. But the standard reference is in Knight's essay
"Ethics and the Economic Interpretation" (published in 1922):

"Wants, it is suggested, not only are unstable, changeable in response to
all sorts of influences, but it is their essential nature to change and
grow; it is an inherent inner necessity in them. The chief thing which the
common-sense individual actually wants is not satisfactions for the wants
which he has, but more, and better wants."

A good summation of the argument of that essay is actually found at the
beginning of "The Ethics of Competition" (which was a companion piece,
published in 1923):

"The facts, as emphasized, are altogether against accepting any
balance-sheet view of life; they point rather toward an evaluation of a far
subtler sort than the addition and subtraction of homogeneous items, toward
an ethics along the line of aesthetic criticism, whose canons are of another
sort than scientific laws and are not quite intellectually satisfying. We
cannot accept want-satisfaction as a final criterion of value because we do
not in fact regard our wants as final; instead of resting in the view that
there is no disputing about tastes, we dispute about them more than anything
else; our most difficult problem in valuation is the evaluation of our wants
themselves and our most troublesome want is the desire for wants of the
"right" kind."


You'll find these essays at the beginning of the 1935 collection of Knight's
essay THE ETHICS OF COMPETITION, as well as in the first volume of my own
2-volume collection of Knight's essays: SELECTED ESSAYS BY FRANK H. KNIGHT.

Ross Emmett