You can't carry over items. However you CAN load up your Al Bhed dictionary into the new game. Remember those load points you found in various spots in the game? That's what they do. So in essence you go through the game once and learn the Al Bhed language. Then you start it again, load in the dictionary, and now you can play the entire game knowing exactly what everybody is saying.
I beleive the first load point is in that watery area, where you first fall in to the "new world". I think it's pretty much straight ahead there. That way, you know the language before you meet your first Al Bheds.
