W.T. Fits posted:

So in general, most people try to avoid running away until they reach the Wind Shrine and pick up their first job to see whether or not they get assigned Knight; if they do, then they have the option of going for either the Brave Blade or the Chicken Knife. Most people, however, just tend to take the Chicken Knife anyway since some encounter formations can be extremely annoying to deal with depending on your job composition, and it's easier and faster to just run away. Which means going for the Brave Blade and attempting to keep it at full power can make the game a bit more challenging than a normal run.