If you're soloing, sub whatever you want - especially if you're trying to level a subjob. I went THF/WHM to get my THF up, and it worked wonders. I also tried to level my WHM and subbed both RDM and THF to it - and found that WHM/THF was *much* more effective than WHM/RDM.
If you're in a group, subbing mage to mage will help a little more - and people will be more willing to snag you for a group. You don't need the stat bonuses from a melee class, in a group, but every extra point of MP helps a lot... Still, when it comes to it, at level 16-20, people will grab you for your main, and the subjob isn't all *that* precious in the Dunes, so do as you want and enjoy it. :)