Apart from dropping in for a while, the best experience is obtained by explicitly starting a multiplayer game from the get-go. Then everyone immediately creates their own character: origins chosen, and properties customised. In split screen couch co-op, you can do this by joining in during character creation. Online, it’s best to start hosting a multiplayer game.
At any time, you can invite up to three friends to join you, or you can join a friend’s game, regardless of how far along in the game they are. You can change your online visibility in the Connection Menu to allow friends (or anyone really) to drop in. For drop in multiplayer, your party must at least consist of two characters. There must be a character that a new player can take over.
In game, you can assign and re-assign characters to players by going into the game menu and selecting Party Management.