They are synonyms, and can be used interchangeably. There are, however, many idioms involving "large" and "big" that should not be confused.
Big Shot - An important person.
At Large - Not in confinement, as a whole.
"You have a big mouth" - a rude slur said to someone who spreads rumors.
"Larger than life" - Very impressive.
Don't worry about using big and large in almost every other situation. When you order coffee, for instance, they often use many different adjectives for large: Grande, Vente, Large, Big, Tall.
Try learning other magnitudes of large: Gigantic, Titanic, Giant, Humongous, Enormous, Behemoth, Huge, Tremendous, and Gargantuan (my favorite).
Johnny