A newer comment above answered already, but I'll reply here just to confirm that you can indeed switch between main characters within the same save file by accessing the story menu, which is the top option of the game menu. The option is only accessible during sandbox mode.
Just want to point out, "top option of the game menu" gets confusing when one of the options on the menu is labeled "game" and it has a massive empty space at the top. For a while I thought that was where it was, maybe a better wording could be "above the "game" option in the esc menu"?
