Some people like to do everything on a single character, leveling up all jobs that they're interested in on that one. Others like to have multiple characters and spread things out a bit. There is no single "right" answer that applies to everyone. There are pros and cons to each, and it's up to you to decide which is more important to you. (In fact, things like the Main Scenario some people place in the "pro" category while other people place the same thing in the "con" category. If you want to replay it, alt characters are the way to do so. If you don't want to have to replay it, sticking with a single character means you don't need to.)
A few of the advantages to sticking with a single character:
- Your advancement through the main scenario, your Grand Company rank and squadron, your chocobo's level, and so on (everything that you need to advance but is not directly about leveling a class) only needs to be done once.
- Gear can be shared between similar jobs. And for gear that doesn't suit your current job, getting it as a dungeon drop can still be useful if you're also advancing the job that it is for.
- The armoury bonus adds a lot of extra XP for leveling all but one of your combat jobs.
- If you want to craft gear but only want to advance the crafting classes once, you don't need to deal with the hassle of trying to pass items back and forth between alts (which is possible but really awkward in this game).
A few of the advantages to having multiple alt characters:
- You can re-play the main scenario, getting to see it again, and keeping your leveling more story-driven. (It's not the fastest way to level additional jobs, but it's certainly a more interesting way to do so, at least for players who like the story in the first place.)
- Rewards that have daily or weekly limits can be earned separately for each character, letting you advance and gear up multiple jobs more quickly than if you have to divide a single character's allotment of rewards among multiple jobs.
- You get a chance to play with multiple races, genders, and appearances without fantasia's immersion jarring change to who your character is.
You'll have to decide for yourself which matters more to you. (And lots of people go with a hybrid answer, combining some jobs but not all of them, like one character for all the DoW jobs and another for all the DoM jobs, or some other split.)