1) Make sure your squad has Chromatized, giving them their specific Chroma weapons that you've chosen for them back in the studio.
2) Make sure that none of their weapons are currently on cooldown (haven't used them prior to this attempt in the Episode segment).
3) Surround an enemy with four members and have them all ready up for Teamwork using Triangle. For those with direct weaponry (swords, spears, daggers), make sure they're within one square of the enemy (around the enemy) and indirect weaponry users (bows, guns) can be within a few squares distance as back support.
4) With your final member, choose to use the weapon available to them and it should execute a special Finishing Move where everyone comes together and their weapons form the Chroma Beam.
You'll probably end up obtaining this more likely when going for Boss Finishing Moves following the Director suggestions, as many request you perform one to get your maximum audience score.