I created a party with no theif. I need a theif. I want to dual class one of my fighters or my mage but I never have the option when leveling up..... Any advice???

You need to first create a dual class character, you cannot dual class while using characters you already playing and don't have the dual class ability !

Good luck

Here's a link to explain the charcter creation:
http://www.gamespot.com/gamespot/guides/pc/icewinddale/p2_01.html

Hope it help