You choose the class every time you level up.
You can make some silly builds like 3rd level rogue/barbarian/bard if you want.

The example would start as a rogue (which is a smart way to do this,
rogue gets lots of skillpoints at startup and you'll be needing the rogue skills right off the bat).

Then pile on levels here and there, apparently preferring rogue.

I'd pick rogue 1st level and fighter for 2nd, the extra hit points will sure come in handy.

Important milestones: rogue gets evasion at 2nd level (for free) and fighter gets to buy weapon specialization at 4th.

Anyway, rogue/barbarian is a fine choice as well. Better HP helps to balance the lower HP from rogue, barbarian gets more skill points as well so you can take more barbarian levels and still be a competent thief. Loses out on feats though. But that's the way CONAN did it...

[i]... and actually I'm not sure of the levels, or almost anything I wrote, just realized I'm thinking Neverwinter again.
So close, yet so different.[/i]