If you're playing on original hardware, the process involves using an SD card and potentially a homebrew application. There are two main methods: the official way and a more flexible way using homebrew.
The best source for finding specific versions (NTSC/USA or PAL). Dragon Ball Z Budokai Tenkaichi 3 Wii Save File
Play as Super Saiyan 4 Gogeta, Omega Shenron, Future Gohan, and King Cold right away. If you're playing on original hardware, the process