You can create a custom party right now, although yes, the option should be officially added as a single-player feature.
1. Start a new Multiplayer Game, choose the LAN tab and click Create.
2. Launch the game to get into Character creation. I advise creating your first character now.
3. Alt-tab out and use the executable – not the launcher – to start up the game, it will create a new instance. Join the LAN game you created.
4. Repeat for the other characters.
5. Once everyone has a character created, and their “dream” character created, choose “Venture Forth”.
6. As soon as you’ve done that, IMMEDIATELY alt-tab out and close the other three instances of the game, otherwise your CPU/GPU will have a bad time.