Instructions
Press the "Q" key while playing "GMod" to open the main "GMod" menu. Click the "Options" tab in the upper-right corner of the main "GMod" menu to open the options menu.
Click the "Model" entry under the "Player" header of the options menu to open the character selection menu. Click on a character model to select that character, then press "Q" to close the main "GMod" menu.
Kill yourself in "GMod" to effect the character change. You can kill yourself in a variety of ways, including dropping a heavy object on yourself, running in front of a vehicle or other fast-moving object, detonating an explosive object while standing next to it, or by using the "kill" command in the "GMod" command console. You will re-spawn as your selected character after dying.