Pick which rule you want, I suggest 'All' and challenge the Card Queen outside Balamb Station (she's the one in red attire), choosing to cancel the match before selecting your hand if a trade rule other than 'All' comes up.

Repeat this process, playing the actual card game only when the trade rule is 'All' and quitting before dealing when the others appear. After about three or four games with the 'All' rule leave the Card Queen and challenge another card player of your choice in Balamb, say Zell's mother. If the trade rule comes up 'All' in the opening screen then you've been successful and that rule will carry.

There may be another way, but that's the way I do it.