Instructions
Defeat Ultimate Weapon in order to receive Cloud's final weapon, Ultima.
Go to fight Hojo in Midgar, making sure that Barret is in your party. Barret's final weapon, the Missing Score, can be found on the upper part of the staircase on the way there.
Get the Sector 7 Slums Key found in Bone Village in order to get Tifa's weapon, Final Heaven. Now you will be able to go to the Wall Market. Near the Inn will be a building that has a broken item machine that you can use to get her final weapon.
Go to the Temple of the Ancients to receive Princess Guard, Aeris' weapon. When you get to the big clock, turn the hands to IIII, not IV. This will take you into the corresponding room where a treasure chest will be. Open it to receive the weapon.
Take Bugenhagen to the Ancient City, then return to Cosmo Canyon on Disc 3 with Red XIII in your party. He will receive Limited Moon, his final weapon, from Bugenhagen when he dies.
Go the Shinra Tower when in Midgar for the second time. Go to Floor 64 and enter the locker room. Cait Sith's final weapon, Marvelous Cheer, will be located in the back row of lockers on the left side.
Talk to the old man--located out in front of the item shop in Rocket Town--three times. After the third time he will give you Cid's final weapon, Venus Gospel.
Submerge with the submarine underwater around the Gold Saucer area. Near here, you will find a plane that crashed and sank in a corner. This plane is called The Sunken Gelnika. You need to have strong characters to go here. You will find Conformer, Yuffie's final weapon, in a treasure chest in the first room.
Head to the big pool of water near North Corel, with the submarine. Enter the waterfall with Vincent in your party. After the scene, leave and fight for a second. Enter again, and you should be able to obtain Death Penalty, Vincent's final weapon.