From Ul'dah, go to Eastern Thanalan, through Central Thanalan I believe.
Keep heading northeast, across Highbridge.
You'll then be in South Shroud but enemies are about twice your level, so watch out. You can make it if you stay on your toes.
Head north/northwest, and you will be in Central Shroud then. Keep heading north/northeast and you will find the gate to Gridania.

I know... I walked the opposite way when I started out, haha. (From Gridania to Ul'dah)