You don't fight Valefor before you face Vegnagun only Shiva then the Magus Sisters and then Anima. You fight Valefor when you are in the Besaid Temple. Anyway this is how you defeat him;
If you have any accessories or Garment grids that raise magic defence then equip them and have one player as a white mage to cure your party and one as a warrior using magic break on him and the other as a black mage to use spells against him. Use MP Absorb as a counter measure to replenish your MP because Valefor will steal your MP. Your White Mage should cast shell on everyone and using the dark knights darkness attack and Yuna speacial dressphere will help to defeat him.