I tried everything I could think of, but couldn't figure it out without finding a manual on the internet.
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You hold down on the joystick and press the SELECT button on the console.
I guess it would've been too hard to add another button on the console itself. 8-)
My only complaint now is that they don't have auto-repeat in the selection menu. I hate having to waggle the joystick right a bunch of times to get to the end of the list. (It's a pretty long list).
Other than that, it's sweet.