It means you have to do it in one smooth action. For example, I seem to remember Aura Bolt works from Left, Left-Bottom, Bottom. So press Left, then stroke your finger across the d-pad so you make a smooth curve across the pad in the direction the Blitz is in. Then press X. Try it a few times if it fails, those Blitzes tend to be the hardest to perform (wait until you see Bum Rush, that's a full-circle).