Once you've figured out which package you want to use and have either installed through the .exe or unzipped the file, you will be greeted by a character speaking Japanese. Simply drag your desired .nar file onto her and she will install it for you. After that, all you need to do is click the option circled in the image to the right.
And that's it! Next time you load SSP, the last character you were running will be booted by default, so you don't need to worry about switching everytime.