In the Online City Press L2 and a button (UP, DOWN, LEFT, RIGHT, X, CIRCLE, TRIANGLE, SQUARE) to get the character to "emote."

In the Online City Press R3 to bring up the text bar so you can send messages.

In the Online City Press L3 to bring up the Message History.

A quick tip on item collection: On some Gaiden Levels just defeat the required Character or Machine then return to the city (getting the defeat message) but you can still keep the items you grabbed.

This is very useful for Liu Bei & Sun Shang Xiang's "Birds", just kill Sun Shang Xiang and don't waste an hour killing the birds just quit and get her item drops.