lvl 20 lancer

i just lvled to 20 i'm wondering if i should just keep doing the main quest or go level other classes?

Umm level your lancer to 60
It depends do you want to play another job ?

It's really up to you for the most part whether you want to level other jobs or not. There are a few things you absolutely must level for lancer however.

You want to have Marauder at level 15, which can be acquired at Limsa Lominsa before levelling Lancer beyond 30, this is to acquire your Dragoon job crystal which will give you better stats and allow you to learn yet more abilities.
Lancer's/Dragoon's can also use skills from Pugilist which you can learn in Ul'dah, so you may also want to level that.

But aside from that it's really whatever takes your fancy, you can level all the classes, or just whatever is neccessary for your main. Alternatively by trying out a bunch of classes you might find one you like more than Lancer.

Good luck!

Get lancer to 30. Then go get marauder to and Pugilist to 15. After that go grab your dragoon job and get that to 60.

Once you hit end game then go back and level another class. You will get an armory exp bonus after your first class at max level that will allow you to level the other classes faster.

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You will get an armory exp bonus after your first class at max level that will allow you to level the other classes faster.

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Not quite correct. The EXP bonus is for any battle class that is a lower level than your highest level one.

By the time you hit level 30 lancer, OP, you'll absolutely want 15 Marauder in order to meet the unlock requirement for Dragoon (No, you don't lose any progress - it's a promotion that unlocks new skills, not a brand new class you level from 0). Taking Pugilist to 12 to get some useful cross-class skills you can still use in Dragoon is also a really good idea.

However, if you want to start exploring other classes? Do so whenever you want to.

Lancer actually requires very few cross-class skills to be effective. You can do well raiding simply by having Marauder at 15 and Pugilist at 12. Everyone says something different for what skills you want. You can level them when you want, but here are some benchmarks for you:

Level 30:
Lancer 30
Marauder 15
Pugilist ??
At least get Marauder to 15 by level 30. This unlocks the Dragoon Class, which gives a big bonus to your primary attribute (strength) and additional abilities. Your Dragoon level btw is the same level as your lancer. So any exp you gain as a Lancer levels your Dragoon and vice-versa. This means your new class starts at 30.
You can level pugilist as an option. Most of your damage buffs and utility in a party will come from Pugilist and can be easily reached by leveling that class to 12.

Level 50:
Lancer 50
Marauder 26
Pugilist 12
The point of leveling marauder to 26 is for mercy stroke. It's a powerful finisher and off-GCD attack that will help you regain hp and deal damage. This is more for solo than it is alone, as you will rarely use this otherwise. You honestly don't have any better ability to slot in for your 5th cross-class.

Level 60:
Lancer 60
Marauder 26
Pugilist 12
I can't comment on the endgame yet. Wait until we start getting raids before worrying about this.