The first CD is very big and is the most playable one. You can find all kind of enemies but you must know exactly which ones are worth your time and which materia and weapon combinations you must use to be successful.
First Place: Junon Area. This places has some forests with a large number of enemies that will give you an insane number of AP and Experience compared with their abilities. To be successful here you must take with you Cloud, Barret and Red. They are the strongest ones at this moment.
Equip on them magic materia with some "all" so you can take out the entire army with one or two cats. Never use physical attacks or summons! They are too slow or too weak to be time effective, unless of course you plan to spend your life leveling up! Put all your characters in the front row so they can take double damage and use their limits often and put them in fury as well.
As soon as they are strong enough move quickly to a stronger place such as inside the Junon base to fight stronger enemies.
Junon Base Training Guide
Ok, in the CD 1 this is the toughest place to train and you can get more than 2000 EXP per battle!
Just keep in mind that in the beginning this will be extremely difficult and only with the most powerful weapons and materia combinations you will be successful.
Characters: Cloud, Barret, Cid
Materia Combinations: Demi + All (level 2 or 3) so you can take 50% - 75% of all enemies HP with a single attack
Summons: Odin or Bahamut or Kjata or Leviathan.
Demi 3 plus one summon is more than enough to take out the enemies at the beginning. But once you get stronger you won't want to waste so much hp so here is the guide to use once you get a bit stronger:
Enemy Skill: Beta, Aqualung and Trinity.
Bonus: For those who already visited Wutai and completed the Quest they should use Kjata with MP Absorb. This way you will recharge all your MP and kill all the enemies in a single blow!
Good Training!