Alright, so I've tried to do the quest given by the mayor, but I cannot pass the thieves I come across, let alone the bandits. I've also tried just using a melee class, but I can't seem to surpass my record of level 3; I suppose either I'm absolutely terrible, or I'm doing something wrong.
A few suggestions:
1) for melee- go for a light weapon like dagger, main gauche etc. If you've rolled a decent character you should get multiple blows with it, and somewhat counterintuitively, you will actually do more damage.
2) adjust your speed tactics (melee- berzerk/running, caster- coward/running). Running will allow you to run away back towards the cells you started in, and unless someone already stole from you and poofed away, you should be able to get enough separation to duck into a room and rest if you get in trouble.
3) don't try to fight them all at once- lure them out one at a time if you can. rest up between fights to recover hit points and/or spell points.
4) once you kill one or two of the thieves, you will probably gain a level. This will give you more HP. It will also give you 6 skill points per level. Go to the skills screen (shift-G I think?) and add some points to the important skills. For casters, you can greatly increase your spell points with by putting a few points into magic, and for melee characters, put your points into combat, weapon mastery, and/or the specific swords/axes/archery etc. There are definitely other things worth putting some points into but for now we just need to keep you alive!