All right!

Managed to catch Azelf with a Timid nature. Looks like my persistence paid off. Bringing my previously caught Uxie to absorb Azelf's damage made things easier, cause the Uxie I caught had a Calm nature. I had to reset a few times to get Uxie with a Calm nature, but Uxie is far easier to survive against cause it has such weak attack and special attack stats since it's a defensive Pokemon. There was once I was fighting against Azelf for more than 50 turns with Uxie taking Azelf's x3 Nasty Plot attacks (Amnesia x3 + Calm nature Uxie :p)! Of course, I had to heal Uxie to last that long, but money really isn't an issue in the game, coupled with the general cheapness of Moomoo Milk (heals 100 HP and only costs 500 Poke when compared with Super Potion...), but that wasn't when I got it as Timid nature.

I did a rough calculation of it's IVs though, while it's only 50% that it's correct, they really ain't very good, but at least the important stats were good. Uxie had better rough calculated IVs though.

But a good nature and good EV training is much better than having really good IVs anyway, so I'm happy :p

Now to go level up my main game team to a decent level before going to take on the Elite Four and the Champ...