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With changing jobs, you don't lose your character level, only your vocation level.
For instance if you are at level 21 and have, say, 8 levels in the fighter class, and wish to change to sorcerer, you would stay at level 21 but have a sorcerer vocation level on 1. Additionally, you get to keep any augments you've purchased, and any weapon skills, provided your new class supports that particular weapon.
Game is really friendly to letting you experiment with different classes.