If you want 9,999 HP, try the following. Fuse together two fully-leveled HP Up materias together, and fuse into the materia twenty-five Elixirs (you have to have the item-materia fusion skill to do this). The end result will be an HP Up+ materia with +360% HP (or around there). Elixirs are fairly rare items, but you can get the Elixirs you need by doing missions.