Did you create the lobby, set the option to "invitation only" and then send him the invite through Steam? Or create the lobby and get the server ID for direct connect, and send the ID to him to use?
Once you both show up in the lobby, you should be able to launch the game which will bring you both to character creation.
I haven't actually played with another person, but I have started multiple sessions on my PC so that I could have more than one custom player in my solo game. You do it the same way from multiple sessions as you would with another person. Except I had to use the direct connect option since I don't have a second Steam ID to send the invite to.
