Please disregard madcats124's answer, it is wrong!
Yes, when you first start the campaign in multiplayer the other player can join and will be able to create his/her own character while the host will create the other one. Once the creation part is over there is no changing characters when you join any host! You then will take over one character that the host is currently not using.
But keep in mind, that all data will be saved on host! You will not be able to play your created character in singleplayer and then meet up again. If you would like to join the discussion about that you can find it here:
http://www.larian.com/forums/ubbthreads.php?ubb=showflat&Number=502885#Post502885