After beating the game or using a password to re-obtain the human form you start the game with, go to any transformation room while in Hawk-Man form and hold Up+X+B while you fall on the platform. When you transform you will turn into the character you didn't choose at the title screen (Hu-Girl if Hu-Man and vice versa). The effect will save to your file, essentially acting as if you'd picked that character from the beginning. The trick can be repeated whenever you want to swap back and forth between the characters.