The March 2006 issue of “V-Jump” in Japan details the method for unlocking Neko Majin Z as a support character as hinted at a few days back.
First, you must have beaten “Z Battle Mode” at least once. Next, win all 60 fights in “Mania”/”Maximum” mode. NEXT, on the mode select screen, press:
Up, X, Down, Y, L, R, L, R, Start
Finally, when choosing your support character for a battle, hold the “R” button while pressing “A” to select them.
Again, this is exclusively in the Japanese version of the game, which we received as “Super Sonic Warriors 2” on the Nintendo DS.