Per hit, yes you are going to do less damage, since daggers take less AP to use. The level of the dagger does have an impact on what damage it does, over and above the straight damage numbers and armour class of the opponents. At least last I read, since I have not tried a rogue build recently, and there was a lot of balancing since I did.
Try to get your speed up, as well as dexterity, to improve your movement and AP. Stabbey may have some specific advice...
