You customized a character.
To customize a character, go to "Customize" from the main menu and choose a character. Once you have chosen a character, buy something for them and equip it. Try to back out and you will be greeted to a blue box hovering over your character. This serves as to take a screenshot of your character for the costume select when using Arcade, Versus, etc. Take the snapshot, select yes to keep it and the achievement will pop.