Okay, this is an old question, so I'm sure the asker has already finished a whole series of novels in the meantime. But perhaps other participants might find this useful.
The basic answer is of course that yes, it's absolutely possible to write in first person while switching between two or more narrating characters. It's been done times and again by many writers (one instance that comes to my mind is a series of detective novels by Josef Škvorecký but I don't suppose he's widely known internationally), and it has been done masterfully.
To avoid confusing the reader, it's best to give each narrator a whole chapter before passing the mic to another. Definitely don't change narrators without at least a section break.
It's also likely to be confusing if you start to change narrators after establishing and having the reader get used to there being only one. If you switch narrators from the start, you don't run into this. Switching suddenly at the start of chapter sixteen is not very advisable unless you have a good reason stemming from the events in the story, and even then it's a good idea to spend a few paragraphs on making it clear what you're doing and why.
Naming the narrator at the start of chapter doesn't harm, but I'd caution against relying on it. For one thing, a lot of readers will just not pay attention to such a label. And if you play your cards right, it's unnecessary anyway.
What really helps here, and also makes this form of narration so much fun, is to have each character speak in their own, subtly distinct style. So make very sure that each of your heroes speaks - or writes - the way that fits their characterisation (and doesn't accidentally slip into the way their colleague would talk). If I remember right, the MYTH Inc. volumes of Asprin's Myth series did this pretty well. There's no way one could ever mistake Aahz for Gleep. (Though I admit I actually read it in translation.)
Between style and content, it should generally be clear who is speaking without any real need for labels.
First person with multiple narrators allows for possibilities that other narration forms don't lend so well to.
One thing that might be fun to consider is whether the text is a sort of collage of each protagonist telling the story from their perspective in turn, or whether they can hear each other talking and perhaps react to what's been said. Do they want to correct each other? Clarify with more detail? Take offense? Even start interrupting one another?
Another potentially interesting thing is reliability of the narrators. Maybe all of them are reliable. Maybe some are unreliable narrators who give themselves away in the same ways a single unreliable narrator would. But maybe, just maybe, there are unreliable narrators, but we don't know who it is. Their accounts contradict each other, but we're left wondering which of them is the truthful one (if any) and which is either mistaken or lying - up until the resolution, or even forever, after the whole story ends.
All in all, first person with multiple narrators can be a great and powerful form of storytelling. It can be immersive, thought-provoking and a lot of fun.
If paired with the right story to tell, because no one form fits all.