You can train a Heracross in any cave. If you know a trainer with psychic Pokemon, you can train Heracross against that trainer. Caves are the best choices because fighting easily beats rock.
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A good place would be 7 island.
I think its good, but, u did not keep your starter pokemon thats funny actually anyways i would suggest you to train ,swellow , a grumpig , wailord (or) , aggron , raichu, wlarien anyways i would suggest u to train your starter instead of grumpig i guess this would have helped a bit
There are various good places to train flying types in Pokemon Platinum. A good thing to do would be to use the vs seeker.
Heracross would be a better choice because Scizor has terrible special defense and since its really weak against Fire types it would be a bad choice, Heracross has really high attack power and can learn really good moves like Reversal, Endure and Earthquake and Megahorn definetely a better choice.
Anywere but mostly in caves