Well, you don't have to change every time you recieve a new job, but it helps to change jobs whenever it's convenient. For example, using a Thief where there are many locked doors would be helpful. Many bosses or dungeons may have it so that it's very beneficial to use certain jobs. And of course, advanced versions of the mages and the Warrior are available further along in the game (turning your Warrior into a Knight is advisable, and turning your White Mage into a Devout is also helpful). Otherwise, just experiment with your jobs and have fun, any party combination is effective.

For reference, the White and Black Mages' upgraded Jobs are the Devout and Magus respectively.