I'm very new to this game and I was wondering if I can change a party members combat behavior. I just got Xzar and he only has 4 hit points before dying. I'd like him to stay in the back and cast magic but he seems to just run up and attack getting himself killed. Is there any way to change this?

On the Records screen, you can change characters' AI packages through Customize -> Script. For mages, I'd recommend using "none." While this means they won't automatically attack with a ranged weapon once you get one, it gives you a lot more control over them. Mages work best when micromanaged.

Alternatively, you can toggle the AI off entirely by pressing A, or clicking the lantern icon in the bottom corner of the screen. This will disable it for EVERYONE, which can be good depending on what you're trying to do. I generally turn the AI off if I'm using a cleric to turn undead, for instance, so they don't cancel the action to attack someone instead.

Also remember that you can pause the game at any time to give orders. Pausing constantly and using the auto-pause options are the best ways to stay alive.

Are most mages in the game as bad as Xzar? I feel like I've been doing nothing but looking after his safely as opposed to him actually bring useful in any way.

He's only level 1. His usefulness will increase dramatically as the game goes on. Mages are useful, many would say essential. You just have to learn how to utilise them.

As tv tropes puts it, you tend to get a strong case of Linear Warriors, Quadratic Wizards in dnd: the wizard is quite weak to begin with, but gains much more power at higher levels.