PhallusOfWoe: I created a group of characters and I press # or 3 to go to the Inn of Algary, but the game tells me I don't have available characters. That's not true.
In a new game, your characters start in Sorpigal. The way the game saves is by having you visit an inn, so when you start a new game, you can see which characters you have at which inns. At the start, everyone's in Sorpigal (you'll see the default characters that the game comes with, as well as your newly created ones). Later on, when you visit other towns and say at their inns, you will leave your characters there.
While most people will create a 6-person party and use it for the whole game, it's actually possible to make more characters and pick and choose your party from those available. So you could eventually have all sorts of characters strewn over the five towns, but at the start they're all in Sorpigal.
One other thing to note: the characters you made start with very little equipment. But, the premade characters have more equipment (and food, and gold). It can help in the beginning to start with a mix of the premade characters and your characters, and transfer all the items, food, and money form the premade guys to your guys. That can give you a little bit of a boost at the start; otherwise the start is a bit slow. Also, remember to equip stuff! Your characters will not start with their items equipped.