The in-game text for the Mage class describes the class vulnerable at first and eventually powerful. The "vulnerable" is a warning label. Expect you mages to be squishy, and easily killed in the early game. Either play with a lot of skill (and previous experience with the game), or spend more time grinding to build up levels.
Also, some basic advice for the mage:
1) Have a plan. Pick a theme for your mage and stick with it. Specialized mages seem to do better in the game than well rounded mages. A specialized mage will have some areas that are harder for it but overall the advantage of staying in your lane, so to speak, win out. For example, a fire mage might struggle in fire areas but will be very effective in ice areas as any other areas where creatures are weak against fire (trolls, undead).
2) Mana is life. A mage without magic points is a dead mage. Keep a few potions in stock (Deepfrost Cognac is your friend in the early game). Also, equipment and skills that add magic points make a huge difference. Sometimes even a few extra magic points makes the difference between sneaking in one or two more high damage spells.
3) Have a high and low mana use attack plan. This ties into item 1. Have a go-to run-of-the-mill attack idea that is low mana use plus a go-to high damage attack. That allows you do some decent damage output without consistently using your highest mana draining spells. It also gives your a back up spell in case your main weapon doesn't quite kill off that monster bearing down on you. For example, pairing Bolt 3 with Fireball 1.
4) Wands OR Staves but not both. While it's possible to try to build a mage that uses both a wand and a staff, it is far better to pick one type of weapon and work with it. Wands are a bit more defensive (and allow off-hand item use such as Orbs) and Staves are a bit more offensive. Ties to item 1.
Really, it keeps coming back to Item 1. Have a plan.
So on that note, what is your plan for your mage?