The Jedi classes aren't something you'll need to worry about for some time after the start of the game; you'll have to find a way off of the first planet before you become a Jedi anyhow, and all of your Jedi teammates will come with a Jedi class already chosen.
Once you do reach the second planet, however, and are chosen to become a Jedi Padawan, you'll need to decide which of the three possible classes is right for you. This Jedi class becomes your new class; you no longer advance levels as a soldier, scout, or scoundrel, but instead, all of your level progress comes in the new class that you've chosen.
One thing to keep in mind is that your character has a maximum character level of 20; the game calculates this by adding together the levels that you've gained in your original class, and those that you've gained in your Jedi class. This means that if you proceed through Taris normally, you'll probably hit Dantooine with around 8 levels of experience, and thus, when you do become a Jedi, you will not be able to reach above level 12 in whatever class you pick. This isn't a problem for most players, since you do retain all of the vitality, feats, and skills that you've gained with the standard class that you began the game with.
There are a few drawbacks, though: your Force point reservoir will be smaller than the other Jedi party members (though not by much, since you begin with 40 points automatically); your progress in the defense-boosting Jedi Sense feat will lag behind; and most importantly, you will be allowed to choose fewer Force powers than your party members who started their adventuring careers as Jedi. None of these are critical flaws in your character's power levels, though; indeed, the game has been balanced to take all of this into account, and if you proceed through the game normally, a character that splits 8 levels of a mundane class with 12 levels of a Jedi class shouldn't have a problem beating the game in the end.
All of this is a roundabout way of getting to the point: you can manipulate KOTOR's leveling system so that, once you become a Jedi, you can dump nearly all of your experience points into your chosen Jedi class, thus becoming as powerful, if not much more so, than your Jedi companions. This necessitates making the first planet of the game much more difficult than in a game with "normal" character progression, but can be worth it if you simply want to kick ass later on in the game.
You see, once you become a Jedi Padawan on Dantooine, the game automatically grants you a level-up; you'll now leave your old class behind, and become a level one Jedi, of whichever class you've chosen. But, if you never converted your extra experience into new levels of your old class, all of the level-up opportunities you've skipped will still remain as experience credits for your character, allowing you to instantaneously convert all of those "saved" levels into the new Jedi class that you've just chosen.
For example, your character starts the game as a level one soldier. You proceed through the Endar Spire and parts of Taris, eventually raising him up to a level four soldier. After that, however, when you gain enough experience to advance one level, you leave him as a level four character, thus delaying the level-up, saving it until you get off of Taris and become a Jedi, when you can pile all of those saved levels into your new Jedi class. Assuming you gain a normal amount of experience on Taris, your new Jedi will start out as a level four soldier / level five Jedi guardian (or whichever class you pick), instead of a level eight soldier / level one guardian.