Yes it is located in the battle arena in Gold Saucer. You must complete it once then you get to do it again. But this time, you'll be fighting Proud Clod at the end. Don't worry it is still easy. Once you beat this foe you'll receive it.
As for the other question, I would try the Northern Cave area. Make sure you equip the Exp Plus to get extras. I know the Magic Pots give about 8,000-16,000 EXP...but with EXP Plus equipped and you defeat 2 Magic Pots, then that's 32,000 EXP in total.
If you're wondering where to get the EXP Plus materia, simply go to Gold Saucer's Wonder Square and change your GP for Items. Hopefully, you have a lot of GP earned as it will cost you 2,000 GP. Choose the ??????? and you'll receive the item.
If you have the W-Item Materia then you will be able to make as many as you like.
If you would rather not cheat, then you could fight movers which give lots of Exp and AP.
I like that glitch, I have tons of elixers and megalixers due to that.
just select one item with the character who has w-item materia and then deselect it and then repeat this process to get as many of any item that you want
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