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Bristow9091 said:

As other people have said, the best place to go is the Omega Ruins, you may struggle a little, but once you level up and can level there with ease, you'll find it's definitely one of the best places to do so, and your characters will be powered up in no time!

You should really look for a guide on how to get peoples celestial weapons (Their ultimate weapons) and how to power them up to their max potential... Celestial weapons will let you hit over the 9,999 barrier (It increases the damage limit to 99,999), and come with some nice bonuses on them. You'll also want to customise some armour to add Break HP Limit, that way you can have more than 9,999 max HP which is always nice, especially if you love numbers, and will give you the edge while fighting bosses etc.

If you'd like to try your hand at getting the celestial weapons, you can look here:
http://finalfantasy.wikia.com/wiki/Celestial_weapons

It should give you all the information you need to getting them, some are harder than others to get, but they're definitely worth the trouble in my opinion.

I'm in a bit of a rush at the moment, I would love to spend more time grinding in the game, but only if I didn't have a tonne of other games to get through. If I make another save file before Sin I can always come back to it, or hopefully they just release a Final Fantasy HD Collection.

I will probably grind up to around 5k HP for Auron and obtain abilities like Hastega and Holy, it's a shame I didn't pick up Tidus' celestial weapon after I fought Yunalesca.