Best done in local Versus mode with a second controller. For the uninitiated, an EX Special Move is just a special move where you press two of the same type of attack button instead of just one. For example, Terry Bogard's Power Wave is usually performed by pressing D, DF, F + either LP or HP. This would become an EX Power Wave if you pressed D, DF, F + LP AND HP at the same time.
To grind this out, go into Versus and set yourself up to level 5 and your opponent down to level 1. It'll take some time, but you'll get it within an hour or so.
Keep in mind that EX moves take up one bar of your super meter for each use.