Successfully complete the game two times. Then, go to the first game that you started. Defeat the final opponent and wait until the credits end. Then, go to your other file and start a new game. You can now choose any character to play.
Defeating Sage of the Body's friend
When facing the Sage Of The Body's friend for the second time you must attack then block. Of course, you must be locked on. When attacking use B, and to block use X.