Those are found later in the game... in the 'defeat 100 enemies' semi-hidden stage, inside Deepground. I don't remember the exact location, and I'm terrible at describing these things anyway - but I'm sure someone else will be able to point you in the right direction. Basically, you get locked in a large room and assailed by waves of soldiers of all different kinds. Once they're all down, you get rewarded with the Golden Moogle doll.
Like 10-Breaker says: only on Very Hard mode. It takes ages to get the Gil needed for Ultima Weapon, so if you try it on a lesser difficulty you might not even have enough cash before the end of the game. That's why it's best to save this gun for the file you can re-use.and oh yeah... when you finish one game mode, will your equipments and stats be able to be passed over to another game mode????