I'm at Maini and am wondering which one is recommended.

I actually want Siobhan, but I hear Khunag is required later. So should I pick Khunag up now or can I swap him in later?

pick up Khunag. Magic is vastly superior to weapons most of the time, his Thunderstorm will be a staple of group combat to wipe out enemies. Distance weapons will only become decent near end-game when you can pick up the powerful bolt rifles which actually do decent damage, most of the game will be a combo of spells to wipe out groups of foes. A couple enemies can be handled any way, but there is no easier way to wipe out a group of 10 enemies than with area spells like avalanche and thunderstorm, etc.

Plus you need him for a quest later to get to new areas so might as well build him up early. You don't need to move and adjust tactics to chuck out magic spells. They hit everything when you get the AOE spells. You don't miss with area spells. Much more efficient. Just my opinion Khunag is a staple of my party since i got him, a 1-2 spell combo of avalanche and thunderstorm handles most foes in the game.

Can you do it with the warrior? sure, its a strong warrior and will do good up front, but isn't going to do much when fighting a dozen foes, some of which are in the back row, etc. Khunag throwing out thunderstorms will be hitting everything for 30-40 damage.

I did play this game a lot in the 90s, so my memory may betray me, but as far as i remember, Siobhan is the only character who can wield the most powerful weapon in the game. But the game is quite replayable to try different characters.

Khunag with his Thuner Storm is seemingly much better, but:
final dungeon is long and has many battles, you will need a lot of potions (both health and magic)
You would need to level-up your party a bit more, than with Siobhan, as not only lot of HP is required, but Khunag will need a lot of SP (and artifacts that boost both HP, SP and magic skills, which allow him to spend less HP instead SP when SP is deplated, not killing him)

Should you not want to spend too much time grinding, to level up and get enough gold for potions, Siobhan is better.

Level-up farming: in Guildmasters dungeon, equip Mellthas with speed-boosting artifacts and trigger a platform that will release 16 Beast 3 and you can do this infinitelly (if you don't have all the speed boosting items, and Mellthas does not have speed > 100, then just move your party to the lowest row, so the Beasts won't be able to hit anyone from your party...it just makes each battle longer :( )

Siobhan : can soak lot of damage and can kill on one hit pretty often (especially when her Critical skill will be improved, for mere 900 gold :D )
Downside is that enemies in last dungeon shoot and deal huge damage, so you might realize you miss Thunderstorm dealing 40 damage to all enemies :D