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There are a few things that should be on your ToDo List before you end your stay in the world of balance:
- Complete the letter sequence between the wounded soldier in the Veldt and the girl in Maranda
- Get Mog in your party and learn all the dances you can with him, particularly the Water Rondo (which can only be learned in the World of Balance)
- Buy the two espers from the auction in Jidoor and buy the single esper in Tzen, although these can be done in the world of ruin as well
- Clear out the treasures in the imperial city and any other areas you have not yet completed, including possibly Doma
- Hang out on the forest in Triangle Island and fight some Intangirs if you really want a challenge. They have 32,000 HP, auto-Vanish and -Sleep statuses, and always counterattack with Meteo.
The Floating Island
You may want to run through the floating island a few times just to give more of your party members a chance to level up and learn some magic. In general don't bring Celes along if you plan to go all the way through, since she will automatically join your party when you lose Shadow, which would let you keep 4 characters the whole way through. The first part of your battle will be just fighting your way onto the floating island itself.
Pick three characters to go onto the floating island. Strong fire magic comes in handy for the battle with Ultros, but just pick your strongest party in general. You'll fight a bunch of monsters from the Imperial Air Force, Ultros and Chupon, then fall onto the floating island while fighting another boss. Save, and talk to Shadow to have him join your party. I'd recommend giving Shadow the Genji Glove and black belt combo again, but do not let him use the assassin, its instant kill will regenerate undead monsters here. In general the best way to survive the floating island is to make sure someone used Zoneseek to learn Osmose and cast that to regenerate MP, and heal the party in between battles. I generally take three groups of three through the floating island to learn some magic and build up, then go to engage the bosses after that. You'll fight the Atma weapon, confront Kefka and have Celes join then go through a sequence to escape in a few minutes time. If you want the blue item you see along your way don't try to pick it up directly, go around and approach it from the right. Fight the boss at the end (the boss absorbs all magic); when finished, walk to the cliff's edge and, once prompted, select the option to "wait" before returning to the Blackjack. Wait for the timer to reach the 5 second mark and Shadow should finally rejoin you in a quick cutscene.