So in what order do you get characters, do events in the WOR? I get Sabin when I first go by Tzen, then I get Mog after I get the airship for his Moogle Charm. Then I put Mog in one party and the other four characters in the second party and do the Phoenix Cave to get Locke. Then I can open the doors in Narshe and get the Cursed Shield and the Ragnorak Sword/Esper.
Basically I try to get the Cursed Shield as quickly and possible so that I can uncurse it earlier on in the game.