Step 1: The Crystal Cave
You get Chaos and Death Penalty in the Crystal Cave, although in FFVII its called ???. But you cant go to the cave anytime you want in the game. You can only get to the crystal cave once you get the Submarine. After you get the Submarine, you have to go underwater and find an underwater cave, tunnel, thing. I would tell you where it is but i dont know where it is exactly. I do know that it is near the city of Junon. Once you get through you shoud be in a circular place. Return to the surface and youll be in a round lake thing with a waterfall. Get off the submarine at the edge of the lake and walk over to the waterfall and youll end up inside the crystal cave.
Step 2: Vincent and Lucrecia
Step 3: 10 Random Battles
Step 4: Chaos and Death Penalty
Now just equip the Death Penalty to Vincent then go to items. Find Chaos on your item list and click on it and equip it to Vincent. Now just go to limit Breaks and set Vincents limit break on Chaos. You now have Chaos and the Death Penalty so go beat up some monsters!
Also heres a cool glitch called the Death Penalty glitch which lets you kill any enemie, even superbosses, with Vincent's Death Penalty in one shot! To find out how to do it, go to this link finalfantasy.wikia.com/wiki/Death_Penalty_Glitch