Once you hit level 30 and finish your class quests, your guild will have another quest to offer you that will require you to get another class to level 15 (if you talk to the NPC with the quest while it's locked, it will say what class you need). This leads into the Job Quests which happen every 5 levels up to level 50, with the first quest unlocking an ability and the Soul Stone for the job. You change between Dragoon and Lancer by equipping or removing the Soul Stone.