After completing a Vs. Mode match, press Start to pause when the winning character's name is displayed. Press L + R to display a character selection menu. Choose the characters for the next fight from this menu and press L + R to continue game play.
Vs. Mode Shortcut
When the words "wins" appear on the screen pause the game and press L. A small menu will appear to choose characters for next match. Select your characters hit L again to unpause the game. After the point tally the game will go to the loading screen. After that it should start the next match with the characters you choose.