Personally, I choose to change classes as soon as I have all my current skills at a good level. This way, I don't have to worry about losing skills at a class change (for example, not learning any Sun magic as a Wizard and then changing into a Warlock--you can't train or practice Sun magic now).
So, my advice would be to gain as many levels as you need to max your favorite skills (or get close), then ascend to Assassin. But, if you change him early, you can gain the HP bonuses sooner, so it's really just up to personal preference. =)
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