To make it easier to get to Ul'dah from Gridania, at level 10 you can hire a chocobo that you can ride for ten minutes (at which time you automatically dismount) - this is actually just enough time to ride between the two cities. Basically, keep heading in a south-westerly direction and you should reach Ul'dah without too much trouble. The route goes like this: Gridania - Central Shroud - South Shroud - Eastern Thanalan - Central Thanalan - Ul'dah. Just be aware of aggressive mobs along the way, but if you're fast enough you should be able to outrun them without too much trouble.