Ceodore's Tale: The Last of the Red Wings
Against the wishes of his mother Queen Rosa, Ceodore, prince of the kingdom of Baron enlists in the elite Red Wings air force in order to earn his knighthood. The Red Wings are attacked by a swarm of monsters and Ceodore finds himself the sole survivor, only to be rescued from his ordeal by a wandering swordsman...
The Invasion - Baron Castle
It seems that the Red Moon has returned and is the source of these countless monsters. Once you regain control of Cecil, head north to the door of the west tower and Cid will greet you. Realizing you could use his help, Cid joins the party. There's really no need to enter the west tower as you'll find nothing of interest in there. Instead, head for the door on your right and be sure to make use of the save point and heal up in preparation for the upcoming battles. You may want to remove Cid and Rosa's armor, they won't really need it and it could be put to better use later on. Once you're ready, take the stairs to the outside.
Once you're outside, you'll be met with a series of three battles. The first is against a pair of Belphegor. These guys are fairly simple to defeat, just keep attacking with Cid and Cecil, healing with Rosa as needed. Your next fight is with a trio of Spirits and a lone Ahriman. The Spirits are relative small fries, but the Ahriman can prove troublesome. It will cast Doom on a party member and then follow up with Haste, a tactic that can quickly defeat the whole team if you're not careful. Just use a Phoenix Down or Rosa's Raise spell when someone dies. If you can take out the Ahriman quickly, you shouldn't need to revive anyone more than two characters. Your last fight is against a Strato Avis and its three Cockatrice. The Avis is the only tough one here—its Tornado spell can reduce a party member's HP to single-digits. If you stay fairly aggressive with your healing, however, it should prove a relatively easy fight.
Knowing Baron can't hold out much longer, Cecil will send Cid and Rosa away to retreat to safety. Alone, Cecil sees Bahamut approaching with a mysterious girl who looks much like Rydia. Before he can figure out what's going on, Bahamut attacks. There's really nothing much you can do in this fight, it's not winnable. At some point Bahamut will cast Megaflare and take you out. Before he does, remove Cecil's shield (open the item list and press 
to see equipment; select the shield and press 
to get the remove option).
The Last of the Red Wings - Country of Mysidia
En route to Baron, Ceodore's airship is besieged my a great many monsters. Unable to stand up to the attack, the airship is brought down. Meanwhile, in the Feymarch, Rydia is cast out without explanation and her mysterious lookalike petrifies the Eidolons stating that she desires their power. In Eblan, Edge sees the return of the Tower of Babil, as do the Dwarfs in the Underground.
When Ceodore comes to, check on all the soldiers. They've all died save one, Biggs. When he begins to stir, talk to him and he will issue his dying order, return to Baron no matter what. He offers some encouraging words and tells Ceodore the he is now the last living member of the Red Wings. When Biggs finally breathes his last, you'll find yourself in a forest with a save point nearby, use it.