Creating a character is sort of like creating an automobile. You have to unlock the recipe by researching Automation (the same technology that unlocks the first assembler). The button to craft a character should be under the military tab (your opinion on that is welcome here).
Once you've crafted a character, it appears in your inventory as an item, just like an automobile would. Select it to your cursor, and place it like you would an automobile. Now there should be an unoccupied character standing around. To switch control to said character, highlight it with your cursor and press control+spacebar.
I hope this helps. Please don't hesitate to reply with more details regarding your situation or what you're trying to accomplish.