How do I start a new character without overwriting my present character?

I wanna be able to switch between them...

Just start a new game and don't overwrite your old characters save.

It says it will overwrite my autosave if present, so does it delete my character completely?

Yeah it will overwrite your autosave, but as long you have saved your game manually at some point which surely you must of the old save file should still be there.

Edit- I'am on XBOX btw.

Whats your gammertag?