Here is how to use a character you have already started with!

It's too bad that this wasn't explained properly so I will explain it:

NOTE: You need to already have a save file to load

HOW TO SET UP HOSTING A GAME:

1. Go to online and select play
2. Press Triangle to host game
3. Then press triangle then select the save you want to load and click ok.
4. After you load the save, PRESS START ON THE CONTROLLER.

HOW TO SELECT YOUR CHARACTER ONCE THE GAME STARTS THIS IS FOR BOTH HOSTING AND JOINING
Once you are in the game you will/should be at a save checkpoint
just press right or left on the D-Pad until you see the selected save you have and once you find it press start.

Again I wish this was explained better but in any event I hope this helps.

BTW if anyone wants to play with me add me
PS3 network name is KittyBeef