I really wish I'd played this game so I could answer this question.

I'm currently on a mission to play them all. Nearly finished VI so after that my order will be FFIX, (FFI & FF2 on the side on my iPhone), FFV, FFIII and then finally FFIV.

My plan is to revive this thread in about a years time to tell you my preferred habitat in the land of FFIV! Then I'll just got told off by a Cid's Knight for reviving old threads...

For now I'll just say "in that castle"... presuming there is some form of castle in the game.