I've been the Pally in a Mage-Pally duo from 1 to 51 and have loved it. However, at lower levels keeping aggro was pretty hard. I pretty much always had to start with judging righteousness if I even wanted to attempt to hold aggro. Make sure that the mage is out of melee range, it's easier for him to get the monster's attention if he's close. Also, don't let the mage start casting before you've judged and hit the mob once. That should give you enough time to keep the mobs off unless they get some early crits.
Protection is the tree to go in for tanking. As mentioned above, Improved Devotion Aura is pretty useless, I'd go for Redoubt. I'd spend your points primarily in talents that improve your threat or allow you to protect another, to keep up with the mage (Precision, Guardian's favor, Improved Righteous Fury, Improved Hammer of Justice, Reckoning, etc).
Someone mentioned Blessing of Protection above. This is a great tool for protecting the mage as casters can keep right on casting through it and all melee mobs will leave the mage alone for the entire duration. (People can't melee while under blessing of protection though, so it's less useful for non-casters.) Hammer of Justice can also give you a few seconds to get aggro back or finish the mob off before the Mage dies.
Other great tools that you'll get as you go are Righteous Fury (increases threat from all holy spells), Blessing of Salvation (Reduces targets threat by 30% - a must on DPSers in my opinion), and Righteous Defense (taunts up to 3 monsters off of the target).
Anyway, once you get to lvl 16, your job will become much easier. Tanking will basically go like this. Make sure that Righteous Fury and Retribution Aura are up. (I usually use Blessing of Wisdom, but Blessing of Might will give you a very small threat increase if you need it). Run up to the mob and judge Righteousness then reseal it and let the mage start blasting. (Later on, you'll start by judging crusader, but the mage will likely pull right off you if you start this way at lower levels).
If the mage pulls the mobs off of you, you can use Righteous Defense to pull them back, Hammer of Justice to give you time to build more threat, or Blessing of Protection to keep the mage alive and keep the mobs hitting you at least until it wears off (and they're hopefully dead by then).
Finally, keep in mind that threat management is everyone's job. If you just can't build enough threat to keep aggro off of the mage, get him to wait another second or two before blasting away. If he pulls monsters off of you (which will happen), make sure the mage stops casting spells and stands still so you can get aggro back (many mages have a tendancy to run away from you while using as many instant cast spells as possible).
Good luck and enjoy.