Now, you'll have to travel through the Nibelheim Mountains to follow Sephiroth. Although you really only need to get through to get to Rocket Town, I suggest that you take the time to explore this area. There's some good stuff to be had here, including three double-AP weapons (Rune Blade, Powersoul, and Plus Barrette), a couple Enemy Skills, and some materia. The Rune Blade and Plus Barrette are in the first screen, on the high outcroppings off the main path. When you get to the area with the pipes, first go down and push the ladder, then go back up and go into the second pipe from the right. That should lead to Tifa's Powersoul. The fourth pipe leads to an All materia. If you want, you can tackle the Materia Keeper who's waiting for you at the bottom now, but first save your game. He's not that tough, but you may choose to stall a little bit during battle and wait for him to cast Trine, yet another fairly powerful Enemy Skill that does lightning damage on all enemies. If you don't want to wait, the next enemy with Trine is about 3-5 hours away. Do what you want. Materia Keeper leaves behind a Counter Attack materia when you finally off him.
Now that the Materia Keeper's gone, you can explore the Nibelheim Mountain to your heart's content. There's a new weapon for Vincent in the network of caves, along with lots of Dragons. They're tough enemies (they have Flame Thrower if you didn't get it before), but they're worth fighting because you can steal Gold Armor from them, and their attacks cause your limit meter to fill quickly. By the time I left the Nibel Moutains, I already had all of Tifa's learnable limits, Meteorain for Cloud, and Planet Protector for Aeris. When you've done everything you want to here, move on to Rocket Town.