
I don't believe, though I'm not much further in, that you ever have a 'main' city, really. I'm fairly sure your GC can be changed later on and even that doesn't seem to determine it completely. After you do all your travelling I'm pretty sure the story has converged and you get the same main plot quests no matter where you are.
Once you've been to all three cities you can use the airships to travel between them for 200 Gil. You can also walk/chocobo between Ul'Dah and Gridania (you need to go through the central shroud to the south shroud, to eastern thanalan, to central thanalan (I think) to Ul'dah, or in reverse order to go the other way). You can also get a ferry between Limsa Lominsa and Vesper Bay for 200 Gil, which'll come in handy soon enough.
The Aetherytes and Teleport are also an option, if a rather expensive one. Personally I have the three city ones set as a favoured destination for the discount, and use my chocobo to get around as much as possible to save money.
Once you've been to all three cities you can use the airships to travel between them for 200 Gil. You can also walk/chocobo between Ul'Dah and Gridania (you need to go through the central shroud to the south shroud, to eastern thanalan, to central thanalan (I think) to Ul'dah, or in reverse order to go the other way). You can also get a ferry between Limsa Lominsa and Vesper Bay for 200 Gil, which'll come in handy soon enough.
The Aetherytes and Teleport are also an option, if a rather expensive one. Personally I have the three city ones set as a favoured destination for the discount, and use my chocobo to get around as much as possible to save money.