I think AB will have to be filed first with the District Juddge concerned where the FIR has been filed. subsequently AB before the High Court can be filed only at Gwalior bench, because since there is bench at Gwalior. approaching the princpal seat of MP is not advisable. In case you want to approach the Principal seat of Madhya Pradesh (MP) you have to get a permission from the registry of the princpal seat by filing an small application before the Registrar stating the ground for filing the AB before the Principal seat.
It is better to approach the District Judge Court first and then to the High Court Bench under who jurisdiction it falls, wirh a prayer for interim bail also.