You need new game plus (start a new game after beating it once) and you'll be put in a room with a bunch of NPCs. Each old man has a bonus to unlock for a certain amount of points each, with one point earned for every unique crown you find in previous playthroughs (ie finding the same crown in a second playthrough does not get you an additional point) the transformation bonuses are, from left to right, old man 1 (succubus from libra heart titles), old man 4 (the transformation from beating the succubus in the game unlocked from the start) and old man 7 (the hunter from the libra heart games). There is also the spirit of vengeance which requires you play through the game without rescuing a single girl. She will appear to the right of the old men in the room and does not cost any points to unlock. Once you've made your selections just go to the left out of the room and in game press down and Z/button 3 on your controller to cycle the transformations.
If you're specifically talking about the thief from Castle in the Clouds, then that character is not in this game. Same unlock method though there's not unlock requirement apart from beating the game.