Whenever you reach an Ark transport spot, you can change the character you are controlling. If you need to make a switch elsewhere, though, there's a trick you can use if you don't mind losing a bit of progress. First, pause the game and return to the Main Menu. Then select Challenge Mode and choose a mission. Highlight the desired character, then back out to the main screen and now choose the Continue option to return to Story Mode. You'll resume play from the most recent checkpoint you cleared, but now you'll be controlling the character you highlighted while in the other mode.