Shogum probably isn't too bad when you're actually at an appropriate level to fight him, either.
Since I've got one of the maps for it, I attempted to fight one of the legacy bosses earlier. I got slaughtered, but it was great hearing "Dormaguez" playing when I fought it.
Have you maxed out the Sage skill track on your Mage? It gets you a 25% reduction on MP costs. And some of the Sage skills are very useful - Jack's Knack, for example, lets you change your characters' vocations anywhere.
Also, I usually have multiple Paladins, because their Coup de Grâce is absurdly good, and the more chances at it, the better. Furthermore, I'm currently trying to max out everyone's Paladin track before I worry about switching them to other classes (I have everyone's except the main character's done) because I've heard resilience and HP are pretty much the most useful boosts you can get.
(Also, I'm sure the most powerful move I was referring to in Strange Journey is more absurd than anything in Dragon Quest IX, since it hits all enemies for massive Almighty damage (a special damage type that isn't affected by the various elemental and physical resistances) and docks all their stats one level. And since all my demons had a special ability that made them return to full HP and MP after every battle, we were basically unstoppable.)