Soloing is really the way to go with this game. Later on, it's more than tedious to be dealing with 4-10 chars when you can easily wipe out everything with 1 strong character. However, if you plan on doing etna's mode I would suggest you train some good generics as laharl and other story characters will not be available.
As for good power leveling spots:
5-3 (Don't spend too much time here, but it's the first effective map to lvl)
14-1 (Probably you're best bet up to lvl 200)
Coo3 (Easily the best in laharls mode up to lvl 2000)
DHM ( For 2000+)
Once you have access to Coo3, you can easily reach lvl 1-2000 within a few minutes. However, getting to lvl 9999 no matter what you do, will take some time.
Also I don't quite understand transmigration. If I get to a high level like 2000 and then transmigrate what is the benefit of doing so, because they just go back to level one so if they are all the way back at such a low level how am I supposed to train them back up to a high level if I can't kill anything anymore.
The benefit of transmigration is storing lvls (up to 185K). You can transmigrate at any level, but if you do it at low levels it's more of a headache than a benefit. Level 2000 is the optimum lvl for laharl's mode (getting up to 9999 and transmigrating is a tremendous waste of time). You ALWAYS want to transmigrate at genius (as you keep 95% of your weapon mastery/skills). Though you may be starting back at lvl 1, each time you transmigrate you improve your base stats, and receive more bonus points for stat boosting...( that's where the stored lvls come into effect.)
Though you will see a huge stat decrease when you go from lvl 2000 to lvl 1, as you begin to lvl up again you'll see the difference.
For instance, my majin had around 70K int. at lvl 2000. After transmigrating him and leveling back to 1000 I have 73K int.....So already my int. has increased 3K, and I'm only half of the level I used to be.
See how this works?