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.