Thaumic Blue/Character Creation
The party as a whole are effectively a standard police squad - the majority of the party need to have gone through police training, and those who havent done so need a reason they're in the group (such as being a bonded familiar to another party member or whatever).
The squad is tasked with investigating the magical and weird crimes. If the party is entirely mages, thats completely fine. That said, you don't have to be a mage. You could be an officer who got caught up in it, etc. You could also just be something else entirely.
If your character is a mage, you must also have a master, the one who teaches you magic. I don't care if several party members have the same master, though.
You may need knowledge of Cryptozoology, Alchemy, and various other knowledges.
As you're likely to have a whole party of mages, it's okay to focus more on survivability than damage output. Not having a huge amount of magic ability at the start of the game if fine - You're all fairly new to things, hence why you all still have masters.