Only three characters can "glide"; Metaknight, Pit, and Charizard. To glide with these characters, do the following.

With the Nunchuk, sweep the Analog-stick in a three quarter circle from up to right or left.
With the Wiimote, sweep the D-pad in a three quarter circle from up to right or left.
With a Gamecube controller, sweep the Analog-stick in a three quarter circle from up to right or left.
With a Classic Controller, sweep the D-pad in a three quarter circle from up to right or left.