When Wind was told to enter the "Evil pool" he left his blade behind him. He wasn't shown having his blade when he burst out of the pool to save his friends and left bare handed. But when he shows up in front of Cloud and Lord Godless he's holding his blade which should be still in the Lord Wicked's hide out.
There was no indication that Lord Wicked has battled Lord Godless nor that they have ever met before but he was able to advise Cloud of Lord Godless' weakness.