Finding Gau is relatively simple. You need to find the Veldt. The Veldt can be found on the continent north of Mobliz; east of the Doman island; on the same continent as the Cave on the Veldt; east of Nikeah… Come on, it’s the northeastern continent, guys.
Anyway, you’ll need to open up a slot in your party (i.e. have three or less party members) and fight some battles on the Veldt. You’ll know if you’re there if you get the funky overworld music. After a few battles, Gau will appear as he did so long ago. So long as you don’t hit him, he’ll join.