Ok, It works now. There's no need to use SET_MODEL for every model.
Code:
switch (player_class)
{
case CLASS_BADGUY1:
g_engfuncs.pfnSetClientKeyValue( entindex(), g_engfuncs.pfnGetInfoKeyBuffer( edict() ), "model", "badguy1");
break;
case CLASS_BADGUY2:
g_engfuncs.pfnSetClientKeyValue( entindex(), g_engfuncs.pfnGetInfoKeyBuffer( edict() ), "model", "badguy2");
break;
}
SET_MODEL( ENT(pev), "models/player.mdl");
g_ulModelIndexPlayer = pev->modelindex;
pev->sequence = LookupActivity( ACT_IDLE );