Make sure your party members all have the Baton Pass ability and also have some gun ammo as well to get this trophy.
In the second palace, you'll be locked into a room by electric gates and must kill all 3 shadows in the same room with you to escape. One enemy will be near a chest and will have a red aura coming from it. When you attack it, you'll fight five Corpse Bird enemies (if you've captured it and turned it into a Persona, its name will change to Onmoraki). During the fight, only damage the enemies with your guns once since that's their weakness. Use Panther first when you get there since she fires at enemies randomly and you can't pick who to shoot at with her. Fire gun once at one enemy, stop doing it, then Baton Pass to someone else. Repeat this process with your other three members to get the trophy.