Isn't the Opera scene just awesome, that scene right there pretty much made me a fan of the series and got me into RPGs.
Leveling is a bit important if you need it, your real priority should be teaching Fire and Thunder to at least one character (Locke mostly) cause the next major dungeon is filled with enemies that have high physical resistance so magic is going to be your best friend. You will also get access to the nifty elemental weapons. Sabin will need to use Aura Bolt and Rising Phoenix while Edgar sticks to the Flash and Chainsaw. Teach healing magic to someone cause Celes shouldn't have to do all the work since her Blizzard spell is going to be useful.
I would visit the other towns simply just to give you and idea of what the empire is like. Most of the shops are the same but you'll get some good levels from walking to each place. Also steal from the enemies on the world map, one of them has a really awesome helmet for Sabina and Gau to use, and one carries the Dragoonboots which is a relic that changes Attack to Jump. Really useful for Edgar and Mog since they both can use spears and spears do 2X damage with the jump ability.
As for leveling, Strength should a priority for Locke, Magic for Celes, and a combination of the two stats for Sabin and Edgar since their skills utilize both stats for certain tools and blitzs. Ignore stamina, its not that useful. HP shouldn't be a priority but if you don't plan on getting max levels then its not so bad to raise it once and awhile, especially when you acquire some of the squishy mage characters.