My general advice is to worry about getting a job that is very wanted in end game scenarios (i.e, BLM RDM BRD WHM) so like that you can get involved in endgame from the get go. The most fun you'll have on this game is endgame, UNLESS you get involved in a LS that revolves around drama almost on a 24/7 basis (some people find this entertaining, however. I'll admit, I do too to some extent).
Also a job you'll be able to merit with reliably (BRD or COR comes to mind). Even if you don't find these jobs fun, I highly recommend you do this. As Ninian, DNC imo is a very fun job, and gets merit invites depending if the person who builds the party has half a brain. However, when it comes to endgame, it isn't as useful as other jobs, and DNC alone won't get you into any seasoned linkshell, unless you become friends with the right people.
tl;dr fun jobs come later.
Also, its better to start off with a job that'll allow you to get gear easier for the job you enjoy. The way I'd recommend you level, since you mentioned you enjoy THF.
THF --> 18
WAR or MNK --> 18 (depending on what weapon you use; personally I recommend H2H, while keeping your dagger leveled. WAR might be a better option, considering you'll use it as a sub for NIN later. If you want to level both, take MNK to 15. Up to you.)
THF --> 30
NIN --> 37 (getting this sub out of the way is very important. Don't worry about buying Utsusemi: Ni just yet, I doubt you'll find any use for it unless you fall in love with Ninja, which I recommend you don't do.)
THF --> 45
THF @45 gives you access to TH2, and there's a load of places where you can use this to your advantage and farm for gil. Things aren't as expensive as they use to be, so its fairly easy for someone new to make a crap ton of gil and live steadily. Afterwards, I recommend you unlock BRD or COR, and take one of these jobs to 75 first. Of course, you'll need a mage sub, but I'm sure using the pattern I provided you could follow a basic strat to get WHM leveled. No worries, WHM really isn't that bad, and its actually quite enjoyable to level.
Once COR or BRD is at 75, you can pretty much do anything at this point. Things I recommend you do as soon as possible.
*Keep up with promies! As soon as you're level 30, try to get these done. Waiting until 75 to do them can be a hassle, but its honestly up to you.
*Sky access! This use to be absolutely mandatory at level 60, but now you can make it to 75 no problem. I wouldn't worry about this until level 75, however, since ZMs are much easier than PMs.
*Expand your inventory/storage/safe/locker ASAP. One of the things you'll run into is limited inventory space. Eventually you will have to make a mule. Be smart about what you store and what you sell, could save you a lot of trouble in the long run.
*Do NOT throw away beastman/kindred's seals. Trust me, I wasn't the only one who threw these away thinking they had no purpose, and god damn how much money I lost doing this. BCNMs/KSNMs are one of the most popular ways of making money, and they make a lot of it.
*Know your jobs. Research your jobs and learn to absolute certainty what they're role in a party is. Don't be afraid to ask people for advice, and make sure you let people know you're new. You have no idea how annoying it is running into newbies who think they know how to play their jobs. Even when you think you've learned everything, you're missing so much.
*Rank up (by this I mean raise your Fame)-! Boyahda Moss quest in Selbina is the number one way to raise your ranks in Selbina/San d'Oria/Bastok/Rabao. Doesn't take much gil, but it does take time buying all that moss and trading it in. http://ffxiclopedia.com/wiki/Boyahda_Moss to learn how to obtain these outside of buying them from the AH. Also, wiki is going to be your number 1 source of information, so get acquainted with it.
*You'll probably end up getting invited to astral burns at 11~13 to be a level sync. Do this if you want. It'll get you to level 22 in at a very fast rate, but it'll gimp your skills (which aren't hard to cap at that level anyway). I recommend you get to Bastok as soon as you can and just astral burn to 22. Leveling in dunes is HELP I AM TRAPPED IN 2006 PLEASE SEND A TIME MACHINE, and Qufim is a gold mine for experience points. People will probably tell you not to burn, but like I said, its up to you.
*DO NOT sell scrolls unless you're 100% certain you'll never be a Mage. You'll thank me for this later. :)
*Get to rank 5 (nation) as soon as you can. Airship pass is so vital at a low level; can travel easily among nations at little cost. Also, get your Kazham keys as soon as you can. DO NOT waste gil buying an airship pass or kazham pass. Just deal with the hassle of getting the keys. I'd say anyone level 30+ can do this with little effort.
*Chocobo is also very important. The quest takes 6 hours to do if you do it in one sitting, so I recommend doing it in between Qufim parties. It involves trading 4 Gausebite grasses (refer to wiki for more information) to a chocobo once every Vana'diel Day, or once every real day hour.
*NEVER FORGET SIGNET! It's extremely important and makes leveling so much easier. Saves a ton of frustration.
*Start saving up Fields of Valor points. Start doing FoV from the get-go, don't procrastinate. FoV becomes important later if you want to augment. Its also an alternative to warping to your home nation. Not to mention it also makes leveling easier. I remember leveling SMN 1-10, and using the Refresh option. Lasts an hour, and made my Carbuncle virtually free, no MP cost.
*Don't be stubborn. If someone gives you advice, take it. After all, you just started playing this game.
*Get your teleport crystals. Another way to make transportation easier, along with Outpost warps. Very paramount to getting around, and saves so much frustration.
*Level BLM at least to 17 for free warps. I haven't even done this yet cause I'm lazy as ***, but its such great advice regardless D:
I'm sure I missed something, but I hit all the important points probably. Send me a tell ingame if you need moar advice.