Gears of War Quandry: Surely This Can’t Be Right?

I picked up Gears of War a couple of months ago, but have only recently started to start playing it more seriously. Some friends were over a few weeks ago and we played in co-op mode for a bit, and got to a certain checkpoint. Then this last Saturday I fired it up again to play with a buddy of mine who’s in Ontario. I wanted to start over a new game from scratch with him, but I also wanted to keep my previously saved game. The game wouldn’t let me do that – it said that if wanted to start a new campaign I would lose my previous campaign and checkpoints. That can’t be right – am I missing something? How do you play a solo game and also do online campaigning with your friends? Or what if you have more than one group of friends you want to play with?