Highlight Iori at the character selection screen. Hold [Start] then highlight Shingo, then go back to Iori. Repeat this until the counter reaches "02". Press HP + LP when "02" is on the counter.
Orochi Leona
Highlight Leona at the character selection screen. Hold [Start] then highlight Kyo, then go back to Leona. Repeat this until the counter reaches "02". Press HK + LK when "02" is on the counter.