I've never tried that party, but the first piece of advice I can give you using what I know of Thieves is to level up immensely. Run when you're actually trying to make it through a dungeon (hell, I do that with a normal party).

It seems like once you hit Class Change you'll be all set though, so I'd do that ASAP (if you're going to do it, which it seems like you are).

Good luck!