The game drops me in Purgatory with a pregen party. How/where do I create my own PCs?

Left-clicking on a character allows you to view, rename, and delete that character. Once you have 1 or more free slots open, an option appears to create new characters. You'll be able to pick gender, name, and then assign points to the skills/stats you want your character to have.

(Do note that there are three pages of skills and stats, so don't be a schlep like I was and spend all the points on the first page. No point in having characters with insane stats if they have no skills to back them up, lol.)