Any time he is not in your party (including right after first meeting him), there's a chance he'll appear after any given battle on the Veldt.
Gau is the reason the Veldt is important. You'll earn no Exp but will earn GP and get drops as normal for these encounters. You can encounter virtually any normal Monster you've fought previously, as well as some bosses. Encounters here work differently than everywhere else in the game. The Veldt is a unique area of the World Map complete with its own unique music. Upon landing, you'll be able to name Gau and will wash up on the Veldt. Avoid Suplex, because while Sabin can Suplex a train, he can't Suplex a fish (that would be silly!). Use strong attacks to prevent this from becoming a problem. It has a series of mediocre attacks, but every other round it may use the devastating El Nino ability. After a certain amount of time has passed, the next set of monsters will be replaced with the boss, Rizopas. You must then jump off, at which point Sabin and Cyan will fight a series of battles against very weak Piranha enemies. If Shadow is still in the party, he will automatically leave at the Summit of Baren Falls. Try to burn through its 775 HP quickly to avoid this attack. It can use Ice or Mega Volt and double attack, which should not worry you, but every other turn it can use El Nino, which should. Rizopas has a pretty weak attack and its Bite special isn't much worse.