I am starting the game over again and wanted to go the Kensai/Thief rout instead of Kensai/Mage this time.

You'd basically play the character like you'd play a Thief, though your thief will be more vulnerable until Use Any Item becomes available. The Kensai will basically buff the Thief side's combat skills, which will eventually allow you to hit those backstabs more reliably, and the backstabs should do more damage because of the Kensai's damage bonus.

Lots of research has been done by Lilura.

If you had searched, a couple of lines below this topic on the first page, is a question:
What should I dual-class my human kensai to and at what level should I do it?

PIH

Kensai ability and damage increases are not that good on my fixed static damage modded BG2: Shadows of Amn, but nevertheless, kensai as a class is pretty cool. Yoshimo could have been a kensai dualed to thief...

Lilura page and info for Baldur's Gate saga and Neverwinter Nights 1 is the best of the best one can find, so, go and check that useful page.