Yeah... Shadow Mitsuo is a boss that everyone struggles with on their first time. That damn shield just drives me up a wall, you know? Anyway, grinding isn't something you should need to do ordinarily, but you'll need to be at least level 38 in order to fuse Black Frost, and getting that Persona is by far the most efficient way to beat him (Mind Charge + Agidyne wrecks it). In order to fuse it you need to perform a 5 way fusion with: Jack Frost, Pyro Jack, King Frost, Pixie and Ghoul. With the exception of King Frost, most of these are pretty easy to get and you can buy them back with the compendium.
If you can find a Golden Hand, you can speed up the grinding process significantly. Basically, there's this neat exploit where if you find and defeat one, you can move up a floor and back down again to almost guarantee a respawn. Killing them is difficult, but if you fuse the level 35 demon Tao Tai, it has Megido which basically one shots them.
Team wise, you should be running Yosuke/Chie (support), Kanji(damage) and Teddie (Mediarama).