Yea, I was kind of at that dilemma as well. I am pretty sure I have wasted alot of time... but oh well.
I basically ran through all the areas and captured 10 of everything except in Omega and Sin. I have every Celestial except Lulu and Wakkas.
My suggestion would be to:
1. Get Anima (if you didnt miss any Destruction spheres in the trials)
2. Get Yojimbo
3. Fight Belgimine in the temple to get the Sisters.
4. Do the chocobo race under the temple.
5. Work on getting the sigils and crests for your celestial weapons.
7. Run through Omega/Sin.
8. Run through Sin and beat 2nd last boss
Thats about where I am currently. I am still too weak to beat a One Eye.