For a first-timer, I recommend the following formula for building a party:
1- Ranger: auto search is too valuable to miss
2- offensive caster (mage, psi, alchy, bishop): I'd go with the mage for simplicity and power
3- defensive caster (priest, bishop): Priests can actually get fairly strong in melee and will get access to magic screen much sooner, so I'd go with that over a bishop
4- locks-n-traps (rogue, bard, gadgy): since pickpocket was nerfed, rogues aren't as valuable; gadgys are cool and total beasts by the end game but pretty weak until then; bards are fun and very helpful early but run out of gas a bit in the end game--I'd favor a bard for a first-timer
5&6- tanks (fighter, valk, sammy, monk, ninja, lord): I would avoid the last 2 for a first-timer since they're tricky to develop. I think monks are awesome, but that's just me.
You'll come across some characters you can hire. Other than a few brief moments with 3 of them, I would discourage recruiting them. You don't need their skills if you build your party properly and they sponge XP. Just say no to RPCs.