Highlight Practice mode at the main menu. Hold L2 and press R2 the indicated number of times to select the corresponding stage:

Law (new): 1
Yoshimitsu (light snow): 2
Ling: 3
Hwoarang: 4
Lei: 5
Ogre: 6
School stage (evening): 7
Jin (evening): 8
Nina (daytime): 9
Eddy (sunset): 10
King: 11
Heihachi: 12
Eddy (daytime): 13
Unknown: 14
Law (old): 15
School Stage (daytime): 16
Jin (daytime): 17
Nina (night time): 18
Yoshimitsu (heavy snow): 19
Paul: 20