It's not as confusing as it sounds, but I blame the vagueness of the guides you have read.
When you play a class to unlock a new class, you don't exactly "advance" to a new class. It's not like a game where you level up a base class, hit a certain level and become a completely different class with completely different specifications. You just level a class to unlock a new class. And with this game, you can change your class at any time out of combat after a cool-down (20 seconds).
Most classes of a similar nature (intended P-DPS classes, M-DPS classes, tank classes, etc.) will almost always use similar armor sets (save a few exceptions, notably bard which uses light armor instead of cloth and samurai which uses heavy armor instead of light armor) so the main changes will be the weapon and class skill set. You'll find plenty of opportunities for drops for weapons for classes you may want to level and once you find an armor set you're comfortable with, you'll only have to upgrade things as needed based on what classes you play.
To use your Martial Artist/Thief example into play, you'll use a dagger (thief weapon is a dagger for damage bonus purposes) and a light armor set and level thief and that class specifically until you hit the thief level to unlock martial artist (base level 40, thief level 35). The only thing that will change is that martial artist will get a bonus damage increase by using a cestus (and unfortunately most skills require a cestus anyway) and a new set of skills for martial artist. You can keep your dagger for use and change back to thief at any time if you prefer or just find it more suited for the situation that you find yourself in.
So in essence, don't think of it as "class advancement", think of it as "class unlocking based on class level/character level requirements". What you choose to play in the end is based on preference and how you choose to build it is entirely up to you.
As a side note, if you feel that it's unnecessary if you're the kind of person who would strive to unlock and play just one class, there's HP/MP/P-Atk/M-Atk/G-Healing bonuses for leveling classes known as Class Expertise. You'll figure more out about that as you play. Just a bonus for playing a little of everything.
Hopefully that answered your question. Feel free to ask more questions based on what I said if I didn't explain it well enough or something piqued your interest.