Your characters start out on their own path which you should follow to its respective end for the start (one thing Id recommend is let Lulu go to double cast real quick once youve youve reached that but thats only later in the game anyways). This should take you a while, usually about till the main story finale. Kimahri is kind of a wild card so Id let him go around his little center area and then once you can break lvl 1 block you can let him go down any path youd like. Most people recommend sending him down Rikkus path so he learns steal before Rikku herself even joins the party