Leveling

[SeraviEdalborez]

There are a lot of useful cross-class skills to have, less if you can party a lot instead of going solo, but if you really wanted to there's nothing really stopping you from going GLA all the way at first.

Most useful would be PGL and/or THM on the side, in my opinion.
PGL: Second Wind (II) at 6 (36).
Featherfoot at 12.
Accomplice at 30. -- A bit high, but a really good tanking tool if you can stomach your way to it later on.

THM: Stygian Spikes at 16.
Sacrifice II and Siphon MP at 20.

I see you're using shield already, that's good. If you don't already, get one with a high Blocking stat (80+ is best) and abuse the heck out of Aegis Boon at 10.

Get the Self-Preservation trait as soon as possible after you hit 20 and complete your first GLA class quest at the guild. Keeps your shield up a fair bit longer. You'll have to stick to leves in Ul'dah if you want Gladiator guild marks though. You'll need 6000 + 2000 from completing the 20 quest.