You choose one character to start out with. You complete their first chapter and then you're free to move about the world and find the other characters. When you meet another character, the game will ask you to play their chapter 1. When you do, the main story stops and you essentially go back in time to play that characters first chapter. Once you finish that, you are returned to the present and that character then joins your party. So you are not continuously switching between characters.
Thanks, here's what I am getting:
Everyone has their own "chapter 1" where their respective chapter ends when the he/she joins the team. The 8 characters' story then merge into one.