Make a simple sphere using Patch Meshes
It's not a particularly good idea to make complex 'compound' shapes from brush volumes, i.e. shapes comprising multiple angles and surface orientations. Instead such structures should be made from Path Mesh objects or modelled externally. To create a sphere (a three-dimensional object as apposed to a flat plane shaped like a circle) from Patch Mesh for example, do the following (as shown in the video above);
1) Draw a cube.
2) from "Curve" select "Cone".
3) press "V" and drag top-most point down ("Esc" or "V" to exit).
4) duplicate ("Space") and re-position.
5) texture (may need "Shift+S" to adjust alignment therein).