In Sonic 2, all you have to do is go to options. Options is hidden under 2p. Just press down on the dpad two times and go to the options menu. Then you can switch between Sonic, Tails, or Sonic and Tails.
As for Sonic 2 and Knuckles. Not too sure, it's been a while, but I see no reason as to why you shouldn't be able to go to the options in that game.