A short answer to your question:

Go with two weapons and screw shields. Only use shields for specific fights that require them, like if you're fighting an enemy who likes to poison you, maybe use a shield that prevents poison. Other than that, it's all about the two weapons. I'm not sure if Warriors can use the Tyrfing, but if so, give your Warrior that sword rather than the Spark Dagger. I believe you can pick up a Salamander Sword at the Weapon Shop in the Village of the Ancients, which is found west of Tokkul, across that huge desert.

Now, a recommendation seperate from your question.

Get a different weapon for your warrior besides a dagger. Get him another sword if you can (Salamander Sword from Ancient Village) But then, turn your Red Mage into a Thief and get him up a few skill levels before proceeding. Give your Thief the Spark Dagger and another dagger. If you find a second Spark Dagger, that would do quite well. You should have found two Spark Daggers by now, one in the Tower of Owen and one in the Viking's Cave.

The reason I say this is because the Thief is really awesome and useful for prettymuch the whole game. He can use "Flee" which helps to run from battles if you're in trouble. He can "Steal", which is self-explanatory. Usually stealing yields run-of-the-mill potions and such, but there are a few treasures waiting to be stolen in the game, and only a high skill level Thief will be able to get them. Give the Thief two weapons and he'll quickly become able to hold his own against sword fighters. Plus, the Thief seems to gain skill levels much faster than other classes. And because of his high agility, you can almost always count on the Thief going first in each round, which is great for healing and general strategizing. Also, in the game you'll occasionally come across a locked door and you have to use a Key to unlock it. If you have a Thief as the front guy in your party, you don't need keys because the Thief can pick the lock.

Currently, I have all the job classes available, but I still have a Thief because he is so strong and so useful. He does about twice as much damage per turn than my regular sword guy. Plus, I can stock up on attack items like Arctic Wind, Bomb Arm and so forth because there are many enemies from which you steal those things. You can also come across Phoenix Downs, Elixirs and many other items that come in very handy, but only if your Thief is of a higher skill level. There is a boss who has a really, really good weapon. If you have an unskilled Thief steal from him, you'll get an Elixir. If you have a skilled Thief do it, you'll get a ridiculously powerful weapon.

Red Mages quickly become impractical as you get other classes. They can cast magic, but it tends to be weaker than if done by a White or Black Mage, and they also have less MP. Their physical attack is pretty good, but I'm convinced that a fully decked out Thief could do better. The Red Mage is almost like a Freelancer class of its own, due to its diversity of discipline. The only problem is that when you have a character who can do a little of everything, they tend to not be exceptional at anything.