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I just started playing over the weekend and I've got my Gladiator up to level 21 and tanked the first 2 dungeons and just unlocked the 3rd. I've been reading about cross-class skills that are useful for tanking (Such as pugalist's feather foot). Should I be grabbing these earlier or just keep pushing to 30 with the Gladiator class?
It's not a clear-cut yes or no either way.
On one hand, a lot of useful skills take very little time to get. Foresight from MRD and Cure from CNJ are both level 2 skills, which is a matter of picking up the classes and killing maybe 5 things each. Those are both classes you'll be leveling eventually for your Paladin job, too (you need CNJ at 15 to unlock the job quest at 30, and MRD has more cross-class skills that are useful for PLD), so that little bit of work now isn't wasted. Featherfoot's only level 4, but you won't be able to use it once you go PLD.
On the other hand, they're not insanely vital at low levels. They're nice to have (especially something like Cure when you're soloing), but you can get away without them.
I'd personally lean toward the very brief detour to pick a few up, but if you decide to push to 30 first, that's not going to haunt you to the end of your days.
Its really up to you, but from my experience, I ran gld up to 30 before branching out, but to each his own.
I would say though as I play on and acquire more classes which results in more cross class options your character will become extremely versatile and allow you to respond to many different situations. For example right now I'm working THM to BLM but keep a cure on the backburner in case shizz the fan and the healer could use a little help, always a welcome addition in a bad situation. But again that's the beauty of this game, play how you like when you like. :) have fun!!
Gladiator and Paladin don't rely much on cross-class skills as much as other classes/jobs do so you will be fine if you decide not to work on leveling side classes anytime soon. I'd say wait until 30 or work on them whenever you need a break from tanking.
You can get the benefit of cross-class skills while you're still on your base GLD class, before unlocking Paladin, and things like Pugilist's Featherfoot or Second Wind can be helpful there. Once you unlock PLD, though, it will be better to stick with it rather than Gladiator, as PLD has much better stats. As PLD, you'll only be able to use cross-class skills from Conjurer and Marauder, so those two should have higher priority to build up for cross-class skills than classes you'll only be able to cross-class from temporarily while you're still a Gladiator.
Conjurer is the one you need to get up to level 15 in order to unlock Paladin, but Marauder provides more useful skills for a tank than Conjurer does. (For instance, while it's possible to cross-class CNJ's Cure spell on your GLD or PLD, it's effect is based on your Mind stat, which is really low for tank classes, so it won't accomplish much compared to what happens when a caster uses the same skill. Occasionally useful for low-level soloing, but becomes less and less useful as you go up in levels.) Foresight (MRD level 2) and Bloodbath (MRD level 8) will be more useful to you.
As for when is the best time to get these, it's pretty much whenever you want. But since some of the nice useful ones are acquirable at low levels and so are fairly quick and easy to get, I think it's worth going for them early when you'll have the most time to make use of them. You can wait until later to pick up some of the higher-level cross-class skills, but maybe doing the first 8 levels each of CNJ and MRD early is a good idea.