I agree, taking the time to level up great axe is a very good move. Even if you're close to 30 and plan on stopping there to switch to PLD, you have to be aware that at some point you'll have to jump back on WAR and level to 37 so your sub isn't gimp for your PLD. Some would suggest that you keep axe leveled as well, but I never found it to be much of an issue. Axe/shield combo isn't terribly common. More often than not, it's WAR/NIN with dual axes, but at levels that early, I'm of the party that doesn't believe that dual-wield is worth it.

Anyway, leveling great axe is definitely beneficial, and if you get help from other players once the mobs become too difficult for you to solo, it shouldn't be a problem.