Once you reclaim the ship you can go back to Ur, it's in the southwest side of the map.

Using the actual job skills of the class will raise it's level faster so that may be why you're thief is higher in their class than others.

Levels don't look bad for that point in the game but I will warn you that FFIII does have a bad habit of having pretty sharp difficulty spikes but I think you should be fine for the moment. Also, make sure to switch your mage characters to Monk. Black Belt occasionally to get a level. Your HP growth is directly connected to your VIT stat and so if you level up with a class with high HP you get higher HP. It's the only stat actually affected by what class you are.