When you're at the main menu, press Square, Square, Square, Circle, Circle, Circle, R1, R2. A green dot should appear in the upper left hand corner of the screen. This indicates that the cheat was successfully entered. Then, either start a new game or load an old one. Use controller two to activate any of the following cheats:

Switch Class: Circle
Switch Form: Square
Shapeshift: X
Invincibility: L1 + L2, R1 + R2, L1, L1, R2 + L2