Concentrate on weapons where you can achieve grand-mastery. For a paladin, that is the mace, and for a rogue, that is the dagger. A rogue with twin daggers does a lot of damage.

A knight can GM both sword and spear. If you want to use both (sword and spear is a good combination), get GM in one before you start on the other. I would do the spear first, because you get benefits from using it two-handed.

How does the Stealing skill work, and is it worth the trouble?

To steal, you Ctrl-click on the character you want to steal from. There is a legitimate case if you want to play an honourable dark path party, where the promotion quest to reach assassin is to kill lady Eleanor Carmine in Celeste, and as proof, to take something from her. A good thief can in fact steal it without killing her. But for other purposes, I thought it was more trouble than it was worth.

Is it safe to put ALL of my characters' luck to 7 at the start and wait the 2 months before they can max it out, or should I only do that with 2 of them?

I never had any problem with doing it for all 4.

Does the order of the party left to right make any difference?

Yes, although I'm not absolutely sure of all the connotations. I tend to put my more robust characters at the left - and be careful, you can't swap them round in this game like you can in MM6, so once you've set on an order, it's fixed for the whole game. One thing I have noticed is that if your party is trying to hide behind a pillar or something, and shoot round it, only the more exposed characters will be able to get their arrows off.

Do you have any other tips or suggestions?

If you're going with the Light Path, I would take the paladin rather than the knight. I have a preference for magic heavy parties (my favourites for this game are APCS for the Light Path and ACSS for Dark), and you will then have 3 characters who can cast the Light Magic spell Paralyze. This combat spell is sheer gold for a Light party, which doesn't get the massive damaging spells of Dark Magic. You can kill monsters very easily when they can't fight back!