Yep, that works even on my laptop and works with a few variations as well. Make sure every client is trying to connect through LAN.
After connecting all clients move all the characters into your main client in the sessions screen and when the game tells you some players have no characters hit their disconnect buttons. Play the game, group all the characters and save. When you play again (make sure you have the right profile active as every profile has its own saves) you can load the party made of your characters as you would a single player game. You only need more than one client open when you are creating the party.
On a side note, on the starter ship you can have 4 characters and 2 npc's giving you a party size of 6. Unfortunately though when you get to the beach you can only have 4 max again.
If you want an npc in your party (for dialogue etc) it would be better to make only 3 characters as there doesn't seem to be a way to dismiss one of your player made characters from the group.
All we need now is 6 characters in a party and it might start to resemble Baldur's Gate!