This was done in season mode, but may also work in other game modes. You must already have points with which you can unlock players. In season mode, go to the unlockables section and unlock the player you wish to use. When leaving the screen, do not save the Gretzkey Challenge Data. Then, draft the player you unlocked to the team of your choice and save your season. Then, go back to the Gretzky challenge section and load up your old Gretzkey Challenge stats (or you can just reboot the PSP). You will have your points back, and the player you unlocked will still be shown as locked. However, he will still be on your team roster. If you are not in season mode, instead of saving your season, save your Pro Manager information. Basically the only time when you want to save your Gretzkey Challenge stats is when you earn new points.