I will start with a disclaimer that I have played through the game with more or less every weapon class, and knives are one of my least favourites, so don't take this as Gospel.
First of all, a sword build!
If you look up the Siphonerman build by Harperfan7, it's a fun Dex sword build that I found effective for Dominating.
It's not specifically a knife build, but as it is Dex based, it makes good use of a backup knife whilst giving a bit of variety.
That's the beauty of knives, they don't require any base stat investment outside of Dexterity, so you are free to spread your base stat points around quite a bit - though this can be a double-edged sword as too much freedom can lead to very odd builds that don't work too well, especially if you're new and figuring things out.
Strength and Perception, for example, should be avoided on knife builds.
A popular complement to knives is the Thought Control (TC) school of psionics.
The school gives you a silent ranged attack and many crowd control options as well as Locus of Control, a feat that allows you to negate some very annoying negative status effects that can be inflicted upon you.
You can get a lot of fun and mileage out of it - you will be weak to robots, but all builds have weaknesses, so don't let that perturb you!
Playing on difficulties lower than Dominating will mean you won't end up pitted against swarms of plasma turrets and Industrial robots either, so it shouldn't be too much of a problem anyway.
If you do go for knife/TC, look up the action point tables on the Dexterity page of the Underrail wiki.
It will help you decide where to get your Dex score to at endgame depending on how low you want your knife AP cost to be.
18, 17 and 14 are all viable options, though 18 will leave you a little strapped for attribute points.
Other important stat point targets to consider are 7 Agility for Fancy Footwork, 5 Intelligence for Cheap Shots and Expose Weakness and 10 Will for Locus of Control.
In terms of skills, you will obviously want to max melee and TC, stealth is universally good, hacking can save a lot of pain, and throwing is a definite consideration due to your high Dex.
If you're having trouble, you might want to take some grenade feats to really supplement your damage and crowd control ability.
Throwing knives can work too, though they are quite feat-heavy and harder to work with (but rewarding if used correctly).
If you are stuck in Depot A in particular, make sure to craft yourself some siphoner leather armour from the siphoners you can kill around the Junkyard area - it will help greatly in resisting acid damage from the Depot mutants.
Siphoner inventories are generated after they jump out of the water, so if you want to guarantee getting leather (or high-quality leather if you're really picky) from them, save before you aggro them, kill them and reload until you get what you want.
Tabi boots are extremely powerful for melee builds, you can find the blueprint for them in Blaine's shop.
Alternatively, they have a small chance of being sold by Old Jonas, Lucas, Colton or Gort, so check their inventories for tabis before unlocking Blaine when you get the chance.
Other gear that could be important is a crafted psionic tactical vest to boost your TC skill, reduce its cost and give high ballistic protection.
On normal difficulty, you will also be able to buy the components for items such as tactical vests, assemble them and sell them for more than you bought the parts for.
If you ever have problems with not having enough cash, this is an easy way to break the economy.
Past a certain point, it won't be necessary, you'll be swimming in currency.
A final hint is that, if you are still struggling early on, killing Mordre with a gas grenade will get you a powerful knife without aggroing SGS. This is a bit meta and interferes in a later storyline (it won't break any quests, it will just reduce your options with a small one), so you may not want to do it unless you are desperate.
Hopefully, with a good knife/TC build, you won't be.
