Originally Posted by Dead Like Me
Starting/Hosting a Co-op game while in the middle of a Solo playthrough will overwrite your Solo playthrough if you have not completed the current level.
If you wish to play Co-op with another without overwriting your Solo playthrough you must finish the started mission and Save and Quit. Only then will it be deemed safe to join their game.
Both solo and co-op playthroughs have their own save data. As long as you reach a checkpoint in solo, making sure to save and quit after, it'll stamp that progress.
Start a lobby with a friend, and you'll see 'Start Co-op Campaign'. Modify the options to your liking, start the game then back out. Return to the Campaign menu with no other players, and everything should be as it was on your solo playthrough.
I had done this more than a couple of times with checkpoints on my solo Legendary playthrough, and didn't lose progress.