I wouldn't solo as /WAR. In addition to /DNC, you could consider /RDM (or /WHM). FoV refresh should work well enough to keep you going.
I'm trying to remember exactly where I went, as I did solo a lot during those levels. You should be able to do pretty well through 39-40 out in the areas around Jeuno doing FoV pages. I did SCH/BST recently near the Passhow zone in Rolanberry. XP takes a dive at 39, but you can still do well enough to ding 40 there without -really- needing to move.
I recall soloing out in Altep a bit in the 40s. The Elemental Ni wheel is very nice damage then, and you can gear for evasion very effectively still.
Generally speaking, take a look at what the level gap tends to be on mobs that you're comfortable fighting, and find a zone (preferably with FoV pages to do) with some to go fight.
Obviously, if you can get into some good XP parties, things will go much faster.
____________________________•• Isiolia - Mithra - Pandemo... Asura FU SE ••
RDM BLM BST BRD NIN WAR PLD DNC BLU