Travel to Devin ASAP and study to become gifted in Arcane magic. This way you will unlock the side-quests and dungeons to grab I wanna say Fei-on and Annie. You'll trigger an event after moving from realm to realm shortly where you will be forced into a long-ish dungeon so be sure to have some healing items on hand. You can screw around in Sei's Tomb and get King Sei too.

I think like, four people I really know have any idea how the actual mechanics of this game work.