Instructions
Go to the "Create" menu from the main menu on the game. Use the "X" button to select the "Create-A-Wrestler" option.
Create your own wrestler. This is just to unlock the preset entrances so you can go through and make your own custom options or select the "Randomize" option.
Win ten exhibition matches with the created wrestler. After the tenth match, a message will appear indicating that you have unlocked the preset entrances.
Go to the "Customize" menu. Use the arrows to scroll down and select the "Entrances" selection. Choose the wrestler that you want to customize.
Scroll through the custom entrances. "Edit 01" is based off Matt Hardy, "Edit 02" is based off D'Von Dudley, "Edit 03" is Lance Cade, "Edit 04" is Miss Jackie and "Edit 05" is Brock Lesnar. Select the entrance you want to use and then select the "Save" option and tap the "X" button.
Go to the "Stables" menu. Choose a stable to customize and then press "X" on the "Entrance" option. The "Trio 1" entrance is for Degeneration-X, "Trio 2" is for the "nWo" and "Trio 3" is a generic three-person entrance. Press "X" on "Save" to apply the entrance.