Nemesis:
Have Auto-Haste, all the aeons, three characters that have 255 Strength (so they can hit for max damage (99,999) preferrably having Yuna as one of those three) and those three must have Quick Hit. Also, those three must have their Celestial weapons. Now it's simple. Continue using Quick Hit until Yuna gets one last turn and then it's Nemesis'. On Yuna's last turn, summon an aeon to block Nemesis. If it's an elemental aeon that has an overdrive filled, just regularly attack, as if you use an aeons overdrive that is elemental based, you'll heal Nemesis. Lather, rinse, repeat. Just make sure you have at least six aeons.
As for Penance, have your armor consist of Auto-Haste, Auto-Phoenix, Ribbon, and Defense +20%. Make sure that Rikku has one of these armors. Also, your characters that you're using to fight Penance with should have mostly max stats (IIRC, a luck stat of 130 is sufficient). Now, when the battle starts, have Auron in your party and make sure he has a First Strike weapon on. Switch him out with Rikku (who should have full overdrive) and create a Hyper Mighty G. Note that this will only affect the people in the active party, so you're stuck with whoever you chose to start the battle with. Now, Quick Hit the arm that will go first. Right before it gets a turn you should've killed it. Now, switch to the other arm. After both arms are destroyed, Quick Hit Penance. When his arms regenerate, repeat the process. Make sure you have a large amount of X-Potions and use Quick Potion (I think that's what it's called I don't have the Intl/PAL versions of the game) to heal when necessary. Using this method, Penance should never be able to use Judgement Day and you'll get a vast amount of spoils for your efforts.