train them all or not?

[Sephiroth]

Probably. I know if you don't pick the right dialog options for when you meet Yuffie she steals your stuff. It's a good idea to save before you run into her.
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no not in that way when you aleady have yuffie and head for Wutai she will steal everyones materia, and then you have to chase her around wutai to get it back

She does not steal all of them. Normally you just don't have enough so she steals everything you have at that time.