Successfully complete the game. Load the cleared saved file. Note: Do not enter EX mode yet. Talk to the costume woman and agree to help her. You will require the item that allows you to leave the maze in order to do this. Talk to the old man to start EX mode. There are various fabrics that you must find in the EX mode levels. Take them back to the costume woman to get a new costume. Each character has three different alternate costumes that can be found, based on Street Fighter and Vampire Savior. To get the final costume for each character, defeat the Boss on level 100 in EX mode.
Successfully complete the game. Load the cleared saved file, then talk to the old man. The EX mode game has a higher difficulty setting, with new restrictions in each level.
If you don't have the manual, it's not very obvious that you can store items. You can do this by entering a warehouse at the back of the room on the right after you enter the garage door.