There's a button in the settings that takes you to the folder. In that folder just duplicate the "Custom Character Example" folder, change the folder name to the name of your character, then replace the sprites inside with your own.
There's also a JSON file inside that specifies the character description given to the AI, dialog sprite placement, and racials. You can open it with any text editor or online JSON editor.
Description and racials should be self-explanatory, dialog sprite placement is trial-and-error since it depends on personal preference.