How do you use 'Blitz' in Final Fantasy 6?

You select the 'Blitz' command, and press the directional button in the right combination for the move you want to execute. Then press A to confirm it - if you did it correctly, Sabin will use the Blitz move, if not, it will say you entered an invalid combination.

The combinations for Sabin's moves are visible on his Status page, they are unlocked as he levels up, with the final one unlocked by a game event.