From Setting, you can either “Save” the character in lbd format which is epic’s own format and allow you work from it later on or, alternatively, you can use the “Export” button and export it in png and/or psd format depending on your addons.
Anyway, as long as you haven’t quit the character you’re working on, he/she/it isn’t lost. But you can’t work on another character since you’ll lose that one as soon as you’ll switch to another ePic category…
That’s why the “Save” option is somewhat useful ^_^