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Usually the best bet is Valkurm Dunes for partying (at least last I played). I personally like to solo until level 12-14 (depending on the Job) first, though. The first few levels in Vaklurm are hell.
Around level 10, make sure you’re up to date with equipment (for a melee),or spells (for mages), and head out of the ‘starting areas’ (Ronfaure/Gustaberg/Sarutabaruta) and into the zones that connect to them (in other words; Ronfaure>La Theine Plateau; Gustaberg>Konscthat Highlands; Sarutabaruta>Tahrongi Canyon).
The monsters near the zone line in these areas shouldn’t be too much more difficult if you’re smart, and they should yield decent EXP, enough to get you to about lvl 15 or so. In fact, I’ve soloed RDM to lvl 18, and SMN to lvl 16, in Tahrongi Canyon on ‘Decent Challenge’ monsters (of course, I did have a WHM sub job and the Empress Band to help).
After this, it may be better to finally bite the bullet and start to party, although, contrary to the standard opinion, you do NOT have to party in Valkurm, as there are other places well worth partying in (Bubirumu Penninsula is one). The EXP you can get in the Dunes though does make it desirable, plus it’s easy to get the items you need to unlock your Sub Job there too.
And finally, do not underestimate the value of the Empress Band at lower levels. To get it, save your Conquest Points to 1000, then trade them in at a gate guard in your home city for the Empress Band. This item, when equipped and used gives you a bonus on the EXP you recieve from each battle, making it very good for levelling. At higher levels though it may not be quite so useful, as the effect would wear off very quickly. But at lower levels it is very effective at boosting the EXP you receive.