First, it's important to understand that, as of version 2.3, the TCG only loads characters that are in progress, and that you explicitly save. That is, only the characters you save when exiting the TCG are available for reloading into the TCG. Please see How do I Save My Character in the TCG? for more details on saving characters in the TCG.
The Digital Character Sheet can load characters that have been completely "finished" in the TCG without needing to explicitly save them, but for folks who don't have the DCS take a look at But I still Want To Load My Completed Character in the TCG!
In the meantime, if you have a character you were in the middle of creating, and you saved your progress, you can pick where you left off. From the Main Menu you would select "Character", "Load", and then click on the partially completed character you want to finish. On the load screen you can actually preview the current character sheet so you know you're loading the character you want. After selecting the desired character click on load.
When your character is loaded you will pick up character creation just after the last step you fully completed.