The in-game text seems to suggest that I can just throw Mog wherever, and sometimes he'll bring me back useful stuff. I've tried it a few times (mostly on accident) and have gotten things like 1 gil. Is it just a random chance to get something rare? Does the world I'm in at the time or anything else have an impact on what I get?
To be fairly honest, the Improved Moogle Throw is practically useless minus a couple of key locations where throwing him would be worth while. I can only remember a couple of good places, and here they are in case you haven't found them already.
If you go in to Academia 4XX AF, you can throw Mog in to the holographic globe in the center of the Academy Headquarters where Hope is located, therefore rewarding you with a Silver Chocobo.
The last one I can remember is in the Archylte Steppes. If you head to the edge of the Marshland where it drops in to a sort of canyon, there should be a little ledge down below at a certain spot where you can throw Mog for a Wild Artefact.
Sorry if I couldn't have been of anymore help to you, but this is pretty much all I can give. :)
Most of the time you will get useless stuff but in certain area's you can get monster crystals or monster decorations. Although sometimes the chances for this are very low.