To add dynamic lights, put them in the scene directory under their own group.
Go to your layer Tab and hit "add layer"
Add a layer tag for "Character"
Select both your characters, and change their layer to "Character". When it prompts you, select "Yes, Change Children"
Now select all your character lights and open the drop down menu for culling mask. Select nothing, then select character. This will tell Unity which object layer to apply these lights to, and will stop the program from unnecessarily computing processing for all objects.