Do I need to play as a character for their affinity with other characters to level? Like to i need to play a either Fiora or Reyn to level their affinity to each other, or will it still happen while playing as Shulk?
Very good question.
There are 3 ways to increase affinity:
Take them to battle. When you kill any enemy, do a critical, topple, etc. you will get a circle prompt. Hit the B on the ring will net all 3 of your characters affinity points. So yes to answer your question, all 3 of your characters will grow affinity together in combat. Do note that the if you can time it correctly and hit the outer white ring, your characters will get even more affinities. But I honestly wouldn't aim for that, just make sure to hit the prompt when it shows up to gain affinity. The best way for this to happen more often is fighting multiple enemies at once imo.
The second way is to accept quests and finish them. Note that not all quests will give affinities, only some. This is the one where only your leader will gain affinity points with the partners, but the partners will not receive any from each other. So kind of switch certain characters off if you want 2 pairs of characters to get affinity's with each other.
The last are the heart to hearts. I would suggest saving before doing this because there is some "trial and error" that goes into it. Basically during the heart to hearts, there will be 2 times when you have to pick a dialogue, each with 2 selections. One of the selections will increase the affinity by a lot and the other one will take away a lot of the affinity. Pick the dialogue by how the ACTUAL CHARACTER will respond, not how you would respond. If you pick the wrong dialogue, just load the save file and try again.
Hope this helps lol. I used to do these guides on JRPG's when I was in highschool with a lot of free time on my other account before it got purged.