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Anything goes!
Sometimes I trace the edge of the forest, sometimes I push up against the edges of rivers and mountains, sometimes I do figure-eights, sometimes I run circles, squares or rectangles.
The only one I wouldn't do is horizontal or vertical back and forth with the analog stick.
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Usually when I'm grinding I'm also trying to go somewhere, so I end up doing a long series of loop-the-loops between my starting point and my destination.
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CIRCLES! Circle, circle, dot, dot, now I got my monster cootie shot! :D
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Oh yeah, what I said above doesn't apply with Pokemon. There, I usually run around the edges of the grassy areas in my location.
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Real FF players don't need to walk around and level. ;)
(I normally level automatically while I'm exploring. I explore a lot, and sometimes when I get into a battle I forget where I'm going and walk back to the beginning by accident.)
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Circles in 3D games, squares in 2D ones. Getting in the rhythm of hitting each direction once is nice.