You can only have one created character per profile. If you want to play with multiple created characters on the same console, the other player(s) will need to create a separate profile, and create their own character. Then, setup a splitscreen multiplayer game. Both users will be asked to load a profile. Each player can then select their separate profile.
Make sure that in the Options -> Network tab (multiplayer tab) that the selected multiplayer character is the PEC character.