In Mt Kolts I recommend joining up with the dudes there. You're better off with the Gauntlet because Genji Gloves are easier to come across later in the game.

Before too long one of your party members is going to freak out and you'll have to chase them down. When this happens bring Edgar and Sabin but leave a spot empty instead of filling all the characters up. Shortly after you'll be able to fill the empty spot by hiring Shadow in one of the towns. It's the perfect time to see the five Shadow dream sequences by sleeping at the inn from that town. You should only have to sleep there about 10 times but every now and then it can take 15 or so. At any other point in the game it always takes forever. I recommended the brothers because it's a great time to see an optional scene at Figaro Castle.