Equipping the Party
Your newly created party begins just outside Coneria with 400 G and no equipment. Your first task is to arm yourselves. Enter the nearby town and talk to the people there. No one has any truly important information, but they do hint at your two goals: to save Princess Sara, and to restore light to the ORBS.
Your immediate task here is to equip your characters. You have an average 100 G per character to start with, and it's a good idea to spend money in roughly that proportion. Equipment in Coneria is cheap, so you should get the best available items for each class.
Armor is simple: FIGHTERS and RedMAGES can and should use Chain Armor, which offers excellent protection from early-game enemies. THIEVES and Bl.BELTS can use Wooden Armor, which is not nearly as effective but still helpful. Cloth is lackluster, but at only 10 G you can probably afford it for your Wh.MAGES and Bl.MAGES.
Rapiers are your best bet for FIGHTERS, THIEVES, and RedMAGES. Eventually your Bl.BELT will be better off Unarmed (around levels 7–8), but for now he will make good use of a Wooden Nunchuck. Wh.MAGES should use an Iron Hammer, but Bl.MAGES can do well with either the Small Dagger or the Wooden Staff. The Small Dagger is more accurate, while the Wooden Staff is slightly more powerful.
Spell Selection
The real money sink is magic. Each spell costs 100 G, and each of your spellcasters can buy as many as three of them. You'll definitely want a spell each for your Wh.MAGE and your Bl.MAGE, if they are in the party. I recommend CURE and FIRE, respectively. Your RedMAGE can survive without a spell for now if you can't spare the money, because he is effective in melee combat at this point in the game.
Eventually, you will want to fill out your mages' spell lists. There are four spells of each type per level, but mages can only learn three of them—and once learned, the spells cannot be dropped. For Wh.MAGES and Bl.MAGES, this means choosing a single spell of each level to forego, but the choices are more complicated for a RedMAGE.
Of the level 1 spells in Coneria, one is very easy to leave off your spell lists: LOCK, which is bugged and is not a spell you ever want to cast. Wh.MAGES have a tougher choice. CURE will save you a ton of money in the long run, and HARM is extremely effective against Undead in the early going. RUSE and FOG are both defensive spells, and between them FOG is probably the better bet. RUSE offers much better protection, but it can only be cast on the Wh.MAGE. Protecting your Wh.MAGE is important, but (assuming they are in one of the last two character slots) they will only be targeted by physical attacks 1/8 of the time. FOG can be used to make your FIGHTER almost invincible, or to shore up any character's defense somewhat.
RedMAGES can only learn six of the eight available spells. LOCK is out, but if you are thinking really long term, you might want to leave a slot open so you can learn RUSE after the class change. CURE is a must-have, even if you have other healers, just as a way to save money. If the RedMAGE is your main nuker, FIRE is your best bet for an attack spell. You can make do without LIT if you need to, so FOG is a solid choice if no one else has learned it. It's always a good idea to have at least one spell at each level that will remain useful in the long term.
Castle Coneria
You will find more clues about the nature of your quest by talking to the residents of Castle Coneria. You don't actually need to step foot in here just yet, but doing so will shed some light on GARLAND and Princess Sara.
There is one interesting little bug/secret in the castle—an invisible NPC you can talk to. They are found in the room with the scholar in the northwest part of the castle, one square diagonally in from the southeast corner of the room.
The King and guards on the second floor are more helpful. You will learn that GARLAND is rumored to be holding the Princess in a Temple to the northwest.
A thorough search of the lower floor will reveal a pair of sages standing watch over two locked doors. The sages will reveal that the mystic KEY needed to unlock the doors was given to the prince of ElfLand for safekeeping. Sounds like a (future) quest!