I have not played a rogue, but they can be very effective if built properly. You may want to look for a blackjack for the start of the game, since crushing damage is more effective on undead than piercing, even though they are strength based rather than dexterity.
You can switch between companions, and if applicable, when rejoining the party they will get an experience boost to match the main character that asked them to return. Pretty much the only thing you would loose trying out a different companion for a while would be gold spent on skill books or equipment upgrades unsuitable for another character to use.
