These days with the better equipment options, xp boosts (Empress Ring, etc.), it's quite difficult to keep even one weapon capped, as levelling is far quicker than it ever was in the past.
Hell, it wasn't until late 40s that I capped Scythe - and that was the *only* weapon I used in PTs. How sad is that?
So, this advice may slightly contradict what was said above (and by all means, if you can skill up TWO weapons and keep them capped, all the more power to you), but going on my experience, I find it's best to stick to ONE weapon and keep it capped or as close to cap as you can.
Unless you're planning on switching completely to Scythe over GS, I'd stick with GS for a while.
And then you can get a skillup PT in your 50s and get Scythe up to speed to prepare you for Guillotine.
Another option that would last you for some time, would be to skill up G.Axe, and get yourself an axe belt (level 30, subjob /WAR will net you +5 to your G.Axe skill), which would put G.Axe on par with Scythe or GS for skill for quite some time (think it only starts to lag behind in late 40s).
Sturmwind will far surpass any GS or Scythe WS for sometime; not to mention Shield Break is godly.
But that's just my 2cp
Again, if you can keep several weapons capped, then go for it!
But otherwise, stick with one until your 50s.