The game starts with 15 characters and 6 that you need to unlock.
The way you do this is by going into single player and picking the vault, press RT or LT to navigate to the characters page and buy the 6 characters for MvC which are all priced at 150. The last 3 on the page are for Marvel Super Heroes and you don't need them for cheevs.
The way you get points to buy the characters is just by playing the game. I did Marvel Super Heroes first, played arcade as all characters and then moved on to MvC and I had enough money to buy all 6 characters.
Now once you buy them they are hidden in character selection screen. The first 3 are hidden on top of the top 3 characters in character selection, eg go to Chun-Li and then press up.
The next 2 are hidden under the first 2 characters at the bottom of the character selection screen
The last one you go to the right of Mega Man
You only need to play 3 fights, 2 of them in each to cover all 6 for the cheev and you can even do them in local multiplayer to knock them out quicker