i recommend you train in the zanarkand dome first, as you can getr lv2 and 3 key spheres from the defenders and and decent amount of exp too. then when it gets too easy you should move onto omega ruins.

you can probably survive the omega ruins after completing everyones individual section of the sphere grid. NOTE: celestial weapons are highly recommended. as for ultima and omega weapon, the best way to decide whether or not to take them on or not is to see how difficult it is to reach them. if you have a really hard time getting there then ur probably not ready. Although it should be noted that ultima weapon can be beaten rather easily by bribing him. you will also gett 99 of a rare item if u bribe him, but i can't remember what it is