Fight as Behemoth:
Highlight Syuten-Dozi at the character selection screen, then press B, C, B, C, B(2), C, A.

Fight as Eelis:
Highlight Benten at the character selection screen, then press C(2), B(2), C, B, C, A.

Fight as Lucifer:
Highlight Susano at the character selection screen, then press B, C(3), B(3), C, A.