This game is also available on Xbox 360.
You can only do this in matches played in Arcade mode, and selecting another mode will cancel out the code, but as long as you stay in Arcade mode, you can still do it, even if you lose, choose another character, or play a two-player match (just not in Vs. mode!!). You must redo this code each time your Saturn has been turned off.
Hint: This will work even with "No Damage" selected.