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.
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.
Best Answer
First of all, the FAQ of IceQueenZer0 and Split Infinity from gamefaqs.com is quite helpful. I found most of my information there.
Concidering Orphans first form, this is to a large extend a matter of staying alive. Be prepared to always heal and debuff the party completely, since a weakened party can be wiped out by a single attack (so you should bring MED/MED/SEN or even MED/MED/MED). To bring down Orphan, I found poison very helpful. In fact, when I was fighting Orphan, it perished almost unoticed by me due to the poison while I was panicking to keep the party alive. Also, I found it almost impossible to stagger Orphan since its stagger bar was constantly resetting.
On the other hand, its second form was much easier. While it seems invulnerable in normal state, once staggered, it takes heavy damage. The key is to hex Orphan while building up stagger as fast as possible, and then hit hard. Rinse and repeat, and you are done.
With respect to your question about leveling on Gran Pulse, you can always leave the Narthex through the portal behind you which will send you to the portals in the Cradle. From there, you may move freely between Gran Pulse, Eden, or the Narthex. However, I didn't find it necessary to level up at this point of the game. (Your Crystarium should already be almost maxed out on the Characters core disciplines anyway.) Success in FF XIII is much more a question of the right strategy.