They have the same XP bar. If you get your quest done at level 30 and switch from Lancer to Dragoon, you'll be a level 30 Dragoon. On the other hand, if you grind Lancer to 50 first, then complete the level 30 job quest and switch to Dragoon, you'll be a level 50 Dragoon. Note that in the latter case you won't have all the Dragoon abilities though; you have to complete the Dragoon quests to unlock those.