As Kevin Y said, you need to unlock then beat mission 14 to unlock the chocobos, which requires you to beat 13...this is the chain:
1->2->3->5 and 7->12->13->14. The link has all the location maps for the Bosses+Cieth Stones.
After you beat 14 you will find Chocobos scattered throughout the Archelytte steppes. Hope this helps.
Two of the best weapon components you can buy (cheap and effective) are Sturdy Bone (80 Gil) and Superconductor (840 Gil).
All you have to do is continuously pour Sturdy Bones into your weapon, until it tells you that you have a 3x bonus (should take at least a couple dozen). When this happens, pour as many Superconductors as you can afford into that weapon. This is effectively the best strategy for turning Gil into weapon levels, and it worked great for me.
The general stradegy is to add organic components (indicated by the claw icon) to the weapon to add to its bonus multiplier. Once the multiplier reaches its maximum (x3), add a bunch of mechanical components (indicated by the bolt icon) at once. This will empty the bonus multiplier, but boost the experience of your weapon significantly. Thus, if you have a few particle accelerators lying around, you can use those in place of superconductors.
If you're lucky, the weapon's level will be replaced with a star. When this happens, you'll need a special item to upgrade it to its next form. Most of these items can be purchased at The Mother Lode. This upgrade will allow you to continue levelling the weapon. Note that each weapon can be upgraded twice - once around level 26 (different weapons take different catalysts at this stage), and again at around level 61 (this always takes a Trapezohedron).
All in all, you won't need anything more than a level 61 (starred) weapon to complete the story missions of the game, but if you want to get all the final weapons, you'll need six Trapezohedrons, which cost around 2,000,000 Gil each. See other guides for best places to farm Gil and rare components.
Best Answer
Final Fantasy XIII is (by concept) to a large degree a strictly linear game. Most of the time (with the exceptions given below), the levels are a simple "tunnel" with no forks. You will only be able to stray off the path for some meters to find hidden treasure spheres or optional enemies. There are no side-quests in the traditional sense and you will only follow your main objective. Once you leave a level, you will not be able to return to the previous visited stages. This is a large departure from the gameplay of earlier parts of the series (say, FFVII).
On the plus side, the graphical representation and the atmosphere/mood of these tunnel levels is awesome. In fact, if you switch off the minimap you may even forget the limited topolgy and enjoy the surroundings. Also, the game uses the restricted degree of freedom for its intense and fast paced storytelling.
The exception from this rule come only very late in the game. FFXIII consists of 13 chapters. Once you reach Chapter 11, you will have access to a number of non-tunnel levels where you may roam freely, that is, as far as you can beat the enemies that stand in your way. Also, a number of simple hunting missions becomes available, where the simplicity refers to the structure of the quests and by no means to the challenge of the enemies. In fact, at this stage you are not expected by the game to be able to complete all challenges of Chapter 11. Rather, you should complete some easy hunting missions and move on with the storyline to level up. That is, you leave Chapter 11 to beat another sequence of tunnel levels in Chapter 12 and the final boss fight in Chapter 13.
However, from Chapter 13 (and even after finishing the final boss), you will be able to travel back to Chapter 11 as often as desired to beat as many optional quests as you like. This is intended as some kind of open-ended-like gameplay where you can find the characters ultimate weapons and fight some really impressive special enemies.
Personally, I really enjoyed the game yet I would have like a more open world. The story was exciting and was presented like an intense and fast-paced action movie. Yet, it doesn't reach the quality of earlier great storylines (like VII, VIII, or X). However, the real strength of the game lies in the combat system, which is strange at first, but works out great once you get used to it. I recommend to give this game a chance.