Thanks guys. I lost at last night's attempt. Here was my setup right before I lost:

Yuna - with 'Haste' - she had near-enough full HP; i.e. about 2000HP. Her overdrive was used already for Bahamut, and all of the other Aeons had been pwned.

Auron - with 'Zombie' - he had 1HP after a nasty Mind Blast.

Rikku - with 'Zombie' - a good amount of HP. I thought nothing could go wrong.

Here's what happened:

I was up to the final form of Yunalesca. I have no idea why I did it, but I had Auron attack her. She counter-attacked, which killed Auron. I thought I'd leave the phoenix down to Rikku, and made Yuna cast Ultima. However, Yunalesca then managed to cast Mega Death, which killed Yuna, and immediately after, Curaga, which killed Rikku. Bah..

Anyway, I'll try again tonight, and stop pestering you guys about it. Thanks.