Rates at which you gain experience(exp), for going up a level, and skill points(sp), for buying weapon and qi skills, is based on your 'skill mastery level'. Open up skills by pressing 's' and you should see a label saying 'mastery level', at the very top of each skill tab. This is the first thing you spend your SP on when you go up a level, 'cos it gets you all those cool new skills!
If you want to gain skill points at a quicker rate, because you don't feel you have enough to get all the skills you're angling for or whatever, keep your 'skill mastery' level below your actual level! So, if you're a Lv5 swordsman you'll want to keep that thing that says 'sword mastery' at level 4.
Once you've done some fighting and you're happy with the amount of SP you've got, then spend it all in one big lump. You can make the Skill mastery level the same as your actual level, which is actually as high as it will go, and then train up all the skills that become available. If you do this, you'll gain exp at a quicker rate! So, our level 5 swordsman will want to make spend some SP and make his 'sword mastery' go up to Lv5. Then, he can go up to Lv6 noticably faster. Repeat as needed!
Something worth noting is that the 'skill mastery' level is based on the highest level skill you have. So, if you're skill masteries are 'ice qi Lv4 / sword Lv5', your overall skill mastery will be Lv5.
Another useful tip is that if you hover your mouse over each thing you intend to spend your SP on, something will pop up telling you which 'skill mastery' level it becomes available, and how much it will cost. Do this to plan out how many skill points you're gonna need!
