That's up to you really...I'm having Ashe (main white, green, and time magic) use a 2h katana. It's based off magic power which is good since she's my main mage, plus it does a lot of damage and multi-hits alot, plus it looks bad-ass. Bashe is currently using a spear because I want the most damage possible with him(I hate the axe/hammer/bombs, because even though they can do more damage, they usually don't), I might switch to 2h sword when it becomes available to me, whichever is better, but I'm sticking with the "based on mobs defense" weapons for him. And right now Vaan is using a sword and shield combo, cause he's my main tanker. If I were you though I'd have Vaan use daggers (or ninja-swords if you don't care about your shield) and speed gear. I would myself but I already have him on swords and....I just don't like daggers that much, and it would take a little extra work to bring him up to par with his daggers, I'm just too lazy.
It's up to you really though, if you wanna do handbombs and mystic armor that's your choice, it's not like XI where you have to play with other people and therefore can't do w/e you want with your char.
Oh and another good option is to have your mage use staffs (and possibly maces?), they bring up magic power and mp usually.