Hi
You just have to pass the normals when creating your own sphere without using the Sphere object if the bug is still in Java3D 1.6.0. You can use the COMBINE_DOT3 RGB combine mode and the COMBINE texture mode to use a texture for bump mapping. You can use several texture units, one for your main texture and another one for the bump mapping.
Edit.: I'm not sure that you can use several combiners in Java3D 1.6.0, it was the case in Java3D 1.4. If I'm right, you won't be able to fully implement bump mapping with Java3D.
Edit.: You can convert an heightmap into a normal map. Maybe it's possible to use GLSL with a ShaderAppearance but I have never tried this feature.