The best way to PvE with a Thief is to always try to avoid being hit. Thieves are the Damage Dealers in a PvE setting. They have a very high attack and Agility at the cost of a low defense. This makes them Fragile. Cutdown is a Thieves best friend. Always jump up and use Cutdown from above on a group of enemies to combo the group into an air combo with Aerial Frenzy and beyond.
In a group setting when in an instance, teamwork is very important for a Thief. A thief can increase the total damage output of the group with Aerial Frenzy air combos. This is very helpful for archers and Magicians especially who try to keep back. After they launch the enemies into the air, Jump into the crowd and activate Aerial Frenzy. This will effectively let you finish the combo they started allowing them to start on the enemies on the group. Rinse and repeat, ad infinitum.
One of the fastest ways to get much xp as possible is to use AOE abilities (area of effect.) Pull lots of enemies and then jump up and use Cutdown to start an air combo. Remember to try and keep the Combo Multiplier up as well since at max, it can give you 1.5x more xp.
When fighting Bosses, try to dodge their attacks and use Rocket Punch and power charges (z button) at them. Cutdown is also very effective against Bosses. Just remember, since Bosses can't be launched into the air, you have to rely on your skills to do most of the damage instead of Aerial Frenzy air combos as usual.
Rocket Punch is also very useful against mini-bosses. Since mini-bosses can't be launched like bosses, your skills are once again going to be your main form of damage output; however, there is one important difference, they can be stunned. Use Rocket Punch liberally against mini-bosses, but play it safe and only go in afterwards if you get the stun on them. Getting hit is the bane of Thieves sadly. Hit and run tactics against bosses and mini-bosses are a must.But if you want, in order to avoid hit and run tactics, you can go after agility other than any others stats as it increases evade rate wich means you can be kept close to bosses and mini-bosses, although the increase of evade for each point of agility is small, it can be a real life saver.
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