I've been playing KHFM recently as well. The synthesis in the Final Mix version is extremely difficult. There are now different Heartless that have special conditions you have to do in order to obtain an item from them that you need for synthesis. You have to get all the other synthesis items first before you get Ultima Weapon, which can be quite a pain if you don't know which items you need.
Take a look at the mixt's GameFAQs link, it pretty much tells you what you all need.
