While in-game, you press the corresponding button on the D-Pad (you'll see the characters' picture on the lower-left hand of the screen) to switch between your current available team members. Once you progress through the story, you'll unlock more characters and will come across Shield Access Points. Press "A" on the Shield Access Point and enter the "Hero" menu. Once there, you can swap out any or all of your characters. I hope that helps.