don't worry, you don't lose anything with changing the heroes(転生).
things like items, equipments, money, caravan's level, and characters(including their status too), you can take them all to new stories.

as you don't have the caravan just after Changing, you can't jump to anywhere.
but you can get new one soon. (5~10 minutes or so)


! one thing to note
after getting a new caravan, don't forget to put a "world map" in new caravan.
good luck.

my first hero in the guild. The new hero will replace the first one in the guild? Can I switch again to the first hero?

you don't need to switch. you can use human, ork, dwarf and elf heroes at the same time. they are different persons. if you choose human as the first hero, and ork as second, you have both ork and human heroes from the beginning of ork's story. you don't lose any heroes.