If you waited for Shadow on the Floating Continent before jumping to the Airship, you can get him back as a playable character. If not, you can get another of your friends back. Either way, go to the cave on the Veldt.

Veldt Cave

The northeast continent has some mountains in the southwest. Land near the cave in those mountain, then go into the cave.

Go north and you will see Interceptor. Go north and follow the path, and you will see some people sitting by a fire. Go north and open the chest, then go through the north door. Follow the path, and when you go through the cave door, go all the way to the west and open the chest. It contains a Monster-in-a-box called Allo Ver/Death Warden. You can kill it instantly with a Fenix Down/Phoenix Down. You will get Tiger Fangs/Tigerfang when you win. Equip them on Sabin.

Go back into the wall. As you go east, keep trying to go south until you come out of the south door. Keep going south and you will go down some stairs to the next area. Continue going south. If it looks like your path is blocked, go southeast to walk under the rock. Continue going south to the next area.

Go south and you will see a door, and a switch to the right of it. Go through the door, then go south and open the chest. Then go north and flip the switch, then go north and use the passage to the east that you just opened. When you can't go any farther east in the hidden passage, go south. Follow the path until you reach a save point. Use it, then go through the south door.

Sr Behemoth/Behemoth King

Sr Behemoth/Behemoth King is vulnerable to Fire. If Mog is with you, try his Love Sonata/Love Serenade dance. When the Behemoth dies, it comes back as an undead enemy. You can kill the second one instantly with a Fenix Down/Phoenix Down.

After you defeat Sr Behemoth/Behemoth King, there will be a cutscene. If the person you saved in the cave was Shadow, the dialogue might be incorrect depending on which version you are playing. This is because if you did not wait for Shadow before jumping from the Floating Continent to the Airship, then you would have found Relm in this cave instead of Shadow, so the dialogue refers to the person as female even if it is Shadow.

Anyway, when you are back in Thamasa, the cutscene will continue. When it is over, sleep in the Inn (in the west part of town). Then go back and check on the person you saved. Now you can leave town, but be sure to leave by the south exit. If you left by the west exit, go back into town and leave by the south exit instead. This is necessary to unlock the quest in the next section, Search for a Friend in Jidoor.

Shadow

If the person you saved is Shadow, go to the northwest continent and enter the Colosseum. Talk to the guy in front of the double doors and bet the Striker/Ichigeki, and you'll fight Shadow. If you defeat him, he'll join you permanently. He has no elemental weaknesses, but he is not particularly difficult to defeat.