If you purchase through steam it is possible to open the games community hub chat to find people to play with.

Players will often drop game codes that you can use to join an existing game (there is no in game lobby, only an orientation area).

If the game is not password protected you can right click on a player name and the option to join game is sometimes available (making sure they are in Big Walk and not some other game). The issue with doing this is that if they not near the orientation area it may be difficult to find them in game as the game world is large.

You can also host a game and invite randoms to play. A couple of times there was a networking issue when I hosted but since I stopped playing through big picture mode I have not had an issue (it's not clear if big picture was the issue). When you host a game the progress will be saved for you. You can restart that game with the same group you played with or anyone.

Word of advice. There are a lot of chill kids playing from all over the world. They will be be bitterly disappointed if you have to leave after completing a section or two because you need to sleep before going to work the next day. It is very easy to loose track of time and spend hours wandering around solving puzzles. It's not true that I jumped into a game with a kid from the states expecting to play for half an hour only to discover that I had been playing for hours and it was past midnight.