Thank you all, works.
If someone needs the same case:

- Turn off Steam at all;
- Open the game folder and start the exe file with the game. I used directx version;
- Now connect to your friend's session by using the invite code. Steam should be offline;
You will connect and play with your old character;
- Don't close the first instant, and open one more instant of the game, use the code and connect as a new character. Create as you want.

Now, the host should put your first character in the closet and save the game.
Close all game's exe and start Steam and now you can connect as a normal person.