For aesthetics that is your choice. However I believe the Guild Master Set is slightly stronger regarding the armour rating of it, the enchantments are more suited to a thief as well. I would recommend you keep all the nightingale pieces apart from the chest which you swap for the Guild Master chest. Just my personal opinion however.
I liked the nightingale armor. But as Jack says, depends on aesthetics and how your character is playing. I learned a little too late how to enchant your armor higher, so with my first character I only got the defense up to 380 something for nightingale. Not sure if you can do the same with the master guild armor since it's already enchanted.