Right now, I can choose between the mythril gloves and the mythril bangle. The gloves raise P.Def by 6 more, the bangles raise HP by 100 more. Obviously, the gloves are better in tight situations where you are low HP.
There's nothing wrong with using equipment that decreases evasion, especially since equipment that gives a decrease usually give a nice boost too. So make sure you know what type of enemies you'll be facing etc and you'll be fine. Bloody shield itself gives a massive boost in physical defense (where you are in the game anyway), you might want to equip other armor when it becomes available though. Personally, I wouldn't worry about using it unless for a physically attacking boss, I'm further ahead than you and I'm using blessed shield (for the cura effect) and I'm using heike helm and heike gloves as well as mirage vest/rainbow dress; this set up is letting me get away with 1hp damage from average attacks where I am (but then again I'm a little over levelled).
And yes, bows are powerful weapons, it does prevent you from being able to equip both hands as you said, so make sure it's on one of your party members that can either take a hit or can kill quickly without taking too many hits.
Personally, I would go for the hp boost, hp is life so whether magic or physical attacks hit it will be taken into account, whereas physical defense will only apply to physical attacks.
You're not too far behind me actually. I only got the game recently but I'm not unfamiliar with rpgs from square. Hope this helps man :)