In this paper, we first describe how to build wavelet frames on the sphere. The chosen frames are based on the Poisson multipole wavelets, which are of special interest for geophysical modelling, since their scaling parameter is linked to the multipole depth (Holschneider et al.). The implementation of wavelet frames results from a discretization of the continuous wavelet transform in space and scale. We also build different frames using two kinds of spherical meshes and various scale sequences. We then validate the mathematical method through simple fits of scalar functions on the sphere, named `scalar models'. Moreover, we propose magnetic and gravity models, referred to as `vectorial models', taking into account geophysical constraints. We then discuss the representation of the Earth's magnetic and gravity fields from data regularly or irregularly distributed. Comparisons of the obtained wavelet models with the initial spherical harmonic models point out the advantages of wavelet modelling when the used magnetic or gravity data are sparsely distributed or cover just a very local zone.