It's possible to get back into Midgar without using a parachute. Cisit the Number 7 gate late in the game and you'll find a man outside who cna't seem to find this key. He mentions that he might have dropped it at an excavation site. Well, there's only one excavation sight around and it's in Bone Village.
Talk to the site foreman at Bone Village and tell him you're looking for "Normal Treasure". Place your hired hands around the top area and set off the blast. They should all point to the location of the "Key to Section 5". Now you can enter Midgar anytime you want.
Why not visit the Weapon Shop in Wall Market one more time. The owner has another special item for sale, but the price is fairly steep (129,000 Gil to be exact). However, it's a one-of-a-kind item called the Sneak Glove, wich makes it easier to steal from enemies.