Once you beat all the stories you get the final chapter (that is if you're playing the PSP version - I guess you have to download it on the WiiWare seperately), you get to choose which save files to use for which character and they all get imported there. I recommend you grind the characters on all the seperate save files to the level cap, though, and try to beat their bonus dungeons as well. You can do that even after you save it as clear data.