Rikkus HP climbs very quickly when you start to level her. I personally would not try to level all the characters. You'll waste time because tbh (and i think this includes most people) you'll find yourself using just 3-4 of them later in the game anyway.

I would level Yuna if i was you. First play through you will probabley need your aeons and their stats grow with yunas. Also Auron too as he is a fantastic physical attacker, and if you cast haste on him or take him down Tidus's part of the sphere grid, the strength and speed combined will be devestating (Quick hit rocks )

EDIT: If your not going to level rikku, have someone learn the steal and use commands