I can only think of two ways to do this, and both involve transferring over players from their original teams. However, you can still avoid messing up the original teams, so I'll suggest both options.
FIRST OPTION:
1) Go to edit mode
2) Make sure you and your mates know which players you want in your team, then transfer over the players you want into your team and the players you don't want out of your team. You'll only be able to do one team at the moment, but we'll do the other teams later.
3) Edit the team's formation, strategy and lineup in the edit formation screen to your default playing style (this will save you a lot of bother later).
4) Once your done, exit edit mode. IMPORTANT BIT: WHEN IT ASKS YOU IF YOU WANT TO SAVE, SELECT 'NO'!!! Your edited team will still be there until you exit Pro Evo, but it won't overwrite your save file.
NOTE: If you do accidentally pick 'yes', don't worry. After step 5, exit Pro Evo, find the edit file in Pro Evo's saved games folder and delete it. This resets edit mode completely, so you may lose things you didn't want changing (e.g. correct team names, etc.).
5) Start a new Master League game with your edited team, immediately save your game and exit.
6) Exit and restart Pro Evo to reset your teams. Now if you go to Exhibition Mode, there will be an option to use ML data as a team. If you've done things correctly, your edited team will be amongst your ML data.
7) Repeat 1 to 6 for each of your friends.
SECOND OPTION:
Mostly the same as the first option, but without the hassle of needing to repeatedly exit and restart Pro Evo. Hopefully, you'll only have to exit and restart once. Just follow the step from option 1, but with these amendments...
2) Again, decide which players you and your mates want, then go to 'create player', and base copy any duplicates (e.g. If three of you want Messi, base copy Messi two times). If you run out of created player slots, select a team player that none of you want and base copy over him (making sure that Pro Evo will allow it with that player first). Follow the procedure of transferring and adding players until each team is complete.
6) Before exiting Pro Evo, repeat step 5 for each of your friends teams. This makes you able to skip step 7.
Hope this helps. If you need anything clarifying, let me know.
