Yeah, you want to invite them before you hit start game.
Hit escape and click "Connectivity Menu". If you're doing Direct Connect, you'll get your server ID to give to them there.
If you're doing it through Steam, invite them from your friends list, or have them join through their friends list, or the server browser (server browser is Campaign -> Join Online Game).
You can edit your server's online visibility from Settings -> Gameplay -> Online game visibility, which controls who can see your game (Offline, Invite Only, Friends, Public).
