When creating your first world you will be presented to the character customization screen. This is where you change to looks of the character set to the world you just created. Make sure you like how you look as you can only change your hairstyle and clothing later in the game!
Note: Characters are neither male or female but options are provided to give your character the appearance of gender by hair style and in game cosmetic items.
Now let talk about your character. The character you create is specifically used only for the created world you made along with it, plus any progression, items, health, etc. will be stored with the the world you created with it.