The Special Classes (Assassin, Zenmaster, Valkyrie) are independent of guild membership.
For Assassin, *anybody* carrying the Assassin's Dagger can walk into a Pawn Shoppe, whether he/she is a member of the Thieves Guild or not, and become an Assassin. Ditto for Zenmaster (Bushi Dojo) and Valkyrie (Temple): the character does not need to be a member of the guild at that place; Zenmaster needs to be carrying the four books, Valkyrie, female, needs to have used Geezer Ra's heart on the Black Fire.
Note that, once you've changed to your special class, you can join the guild if you like.
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